报告题目：How does dynamic investors’sentiment affect asset prices?

时间：2015年6月3（星期三）15：00-16：00

地点：学院南路校区，学术会堂604

报告人：王铎，教授，北京大学金融数学系首任系主任。

报告摘要：

We construct a heterogeneous asset pricing model with varying investor sentiment. Based on the analysis of the dynamics of the model, we find that the stability of fundamental equilibrium point is determined by the balance of the activities of both types of traders. The overreaction of either type of the traders leads to price fluctuation in long time period. We also find that the intensity of chartist’s sentiment does not affect the stability of the fundamental equilibrium point, but it does influence the type of the bifurcations. The simulation on the corresponding stochastic model is successful to replicate some of the stylized facts in real financial market, including volatility clustering, skewness, excess kurtosis and long memory.

报告人简介

王铎，教授，应用数学博士，国务院政府特殊津贴获得者，北京大学金融数学系首任系主任，连续7届担任全国金融数学学科建设与学术研讨会主席。他长期从事动力系统及其应用的研究，已经发表论文50多篇，并合著一本专著在剑桥大学出版社出版（1994），曾获得教育部科技进步奖自然科学奖二等奖（第一完成人）。近年来在国内率先开展金融动力学研究，致力于通过动力学模型研究证券市场内部交易规则与交易者行为影响股价波动的机制。他和他的博士生与国际专家合作在这个方向已经发表多篇论文。