空气污染与呼吸疾病的半参数统计分析62318.pdfVIP

Statistics and Application 统计学与应用, 2018, 7(1), 39-48 Published Online February 2018 in Hans. /journal/sa /10.12677/sa.2018.71006 A Study on the Price Forecasting Model of China’s Stock Market under the Market Maker Junyan Zhang, Ke Shi, Yanhong Wang College of Mathematics and Systems Science, Xinjiang University, Urumqi Xinjiang th th th Received: Jan . 17 , 2018; accepted: Feb. 4 , 2018; published: Feb. 11 , 2018 Abstract Due to the complexity, dynamics and instability of financial markets, the standard asset pricing model under rational expectations is hard to predict price changes. The expectation beliefs of the fundamentalists are closely related to the price bias in the traditional financial model, however, for chartists, the expectation beliefs are attributed to the learning process of historical prices. Therefore, we set up a simple heterogeneous agent model under the market maker, including two traders (fundamentalists and chartists). This paper studies from the following aspects: 1) The re- lationship between returns and volatility in China’s stock market is studied; 2) Forecast market price dynamics; 3) Taking the index of Shanghai stock market as the object of study. In this paper, the statistical analysis method is used to compare the simulation results and empirical results of the simulation data obtained from the model, and do statistical tests. The results show that the stock market has high correlation and heteroscedasticity, and volatility and market risk. The re- turns are asymmetric and there is leverage effect in the market as a whole. This causes price changes. It is found that this model can refle