This paper presents a simplified dynamic model to explore the dynamic mechanism inexcess volatility of stock prices. We attempt to show how investors thinking work for explaining theobservable features of stock market...This paper presents a simplified dynamic model to explore the dynamic mechanism inexcess volatility of stock prices. We attempt to show how investors thinking work for explaining theobservable features of stock market Prices.展开更多
This paper proposes a novel agent-based model combining private information diffusion to explain time-series momentum and reversal.Private information transmission allows heterogeneous trading strategies coexist in th...This paper proposes a novel agent-based model combining private information diffusion to explain time-series momentum and reversal.Private information transmission allows heterogeneous trading strategies coexist in the artificial market.The experiments reproduce momentum in short horizon and reversal in long horizon in the artificial financial market.Moreover,the authors also analyze how the private information contagion affects the momentum.Meanwhile,the authors find the significant price trend and excess volatility of volume when private information diffuses gradually.展开更多
Active government intervention is a striking characteristic of the Chinese stock market.This study develops a behavioral heterogeneous agent model(HAM)comprising fundamentalists,chartists,and stabilizers to investigat...Active government intervention is a striking characteristic of the Chinese stock market.This study develops a behavioral heterogeneous agent model(HAM)comprising fundamentalists,chartists,and stabilizers to investigate investors’dynamic switching mechanisms under government intervention.The model introduces a new player,the stabilizer,into the HAM as a proxy for the government.We use the model to examine government programs during the 2015 China stock market crash and find that it can replicate the dynamics of investor sentiment and asset prices.In addition,our analysis of two simulations,specifically the data-generating processes and shock response analysis,further corroborates the key conclusion that our intervention model not only maintains market stability but also promotes the return of risk asset prices to their fun-damental values.The study concludes that government interventions guided by the new HAM can alleviate the dilemma between reducing price volatility and improving price efficiency in future intervention programs.展开更多
An optimal quota-share and excess-of-loss reinsurance and investment problem is studied for an insurer who is allowed to invest in a risk-free asset and a risky asset.Especially the price process of the risky asset is...An optimal quota-share and excess-of-loss reinsurance and investment problem is studied for an insurer who is allowed to invest in a risk-free asset and a risky asset.Especially the price process of the risky asset is governed by Heston's stochastic volatility(SV)model.With the objective of maximizing the expected index utility of the terminal wealth of the insurance company,by using the classical tools of stochastic optimal control,the explicit expressions for optimal strategies and optimal value functions are derived.An interesting conclusion is found that it is better to buy one reinsurance than two under the assumption of this paper.Moreover,some numerical simulations and sensitivity analysis are provided.展开更多
文摘This paper presents a simplified dynamic model to explore the dynamic mechanism inexcess volatility of stock prices. We attempt to show how investors thinking work for explaining theobservable features of stock market Prices.
基金supported by the National Natural Science Foundation of China under Grant Nos.71771006 and 71771008。
文摘This paper proposes a novel agent-based model combining private information diffusion to explain time-series momentum and reversal.Private information transmission allows heterogeneous trading strategies coexist in the artificial market.The experiments reproduce momentum in short horizon and reversal in long horizon in the artificial financial market.Moreover,the authors also analyze how the private information contagion affects the momentum.Meanwhile,the authors find the significant price trend and excess volatility of volume when private information diffuses gradually.
基金the National Natural Science Foundation of China(Grant Nos.72261002,72201132,71790594)the Youth Foundation for Humanities and Social Sciences Research of the Ministry of Education(No.22YJC790190)+2 种基金the Guizhou Provincial Science and Technology Projects(No.[2019]5103)the Guizhou Key Laboratory of Big Data Statistical Analysis(No.BDSA20200105)the Open Project of Jiangsu Key Laboratory of Financial Engineering(NSK2021-18)。
文摘Active government intervention is a striking characteristic of the Chinese stock market.This study develops a behavioral heterogeneous agent model(HAM)comprising fundamentalists,chartists,and stabilizers to investigate investors’dynamic switching mechanisms under government intervention.The model introduces a new player,the stabilizer,into the HAM as a proxy for the government.We use the model to examine government programs during the 2015 China stock market crash and find that it can replicate the dynamics of investor sentiment and asset prices.In addition,our analysis of two simulations,specifically the data-generating processes and shock response analysis,further corroborates the key conclusion that our intervention model not only maintains market stability but also promotes the return of risk asset prices to their fun-damental values.The study concludes that government interventions guided by the new HAM can alleviate the dilemma between reducing price volatility and improving price efficiency in future intervention programs.
基金National Natural Science Foundation of China(No.62073071)Fundamental Research Funds for the Central Universities and Graduate Student Innovation Fund of Donghua University,China(No.CUSF-DH-D-2021045)。
文摘An optimal quota-share and excess-of-loss reinsurance and investment problem is studied for an insurer who is allowed to invest in a risk-free asset and a risky asset.Especially the price process of the risky asset is governed by Heston's stochastic volatility(SV)model.With the objective of maximizing the expected index utility of the terminal wealth of the insurance company,by using the classical tools of stochastic optimal control,the explicit expressions for optimal strategies and optimal value functions are derived.An interesting conclusion is found that it is better to buy one reinsurance than two under the assumption of this paper.Moreover,some numerical simulations and sensitivity analysis are provided.
