A Asset Model With Second Moment And Memory Intensity, Two Asset Pricing Model Of Stocks And Commodity Futures And Empirical Analysis

In this paper,we develop a simple behavioral asset pricing model(SMM) with fundamentalists and chartists in order to study price behavior under the mar-ket maker scenario when chartists estimate both conditional mean and variance by using a weighted averaging process,and introduce the fractions with memory intensity.Trough a stability theory,bifurcation analysis,the market impact of the weighting process memory intensity and time-varying second moment are exam-ined when chartists are trend followers and contrarians. Then, Under bounded rationality and Heterogeneous Beliefs,discuss a random asset pricing model with stock and commodity futures under the market maker scenario,sample mean and variance following learning process. analyse major parameter influence on sta-bility and bifurcation of corresponding deterministic system.With extrapolation rate ever-increasing,emerge lagged response by the chartists to the market price.In the empirical analysis,comparative analysis of newly-built SMM and SZ-ZS, explain some stylized statistical characteristics, such as sharp peaks and fat tail,volatility clustering, long-term memory of SZZS in the real market,they are present in the simulation data.For two-asset pricing model,choose price time se-ries of stock and commodity futures made a statistical analysis,test and verify whether have statistics characteristics of finance market,and then test validity of simulation data,explain stock and commodity futures prices influence each other and has the long-term equilibrium relationship.