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Efficient Market Research and Stock Value Analysis under Behavior Financial Theories

Author: ZhengChaoLiang
Tutor: YuanWenJun
School: Guangzhou University
Course: Applied Mathematics
Keywords: The Behavior Finance non-reasonableness Mindset Rescaled Range Analysis Fraction Brown Motion
CLC: F224
Type: Master's thesis
Year: 2006
Downloads: 438
Quote: 0
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Abstract


As the financial market and stock derivatives developing, the risk of stock market is increasing rapidly. Because the phenomenon that value and prices deviate is coming out multifariously, so the traditional financial theories and the financial models can’t explain clearly. A great deal of substantial evidence researches detect mental feeling of human, tradition cultural and atmosphere of investment are important functions of the financial market.This research sets out the angle from Behavior Finance and finds out whether Behavior Finance theories are applicable to China. Modern capital market theories think that the property price is random and we can’t predict the future of it. As studying deeply, people discover the motion of stock price doesn’t base the Brown Motion but the Fraction Brown Motion, especially in newly financial market. And we use Rescaled Range Analysis to research Chinese stock markets.The organization of the paper is as follows. First we deduce the non-risk natural European option-pricing model, which bases on Fraction Brown Motion. And then we discuss the concrete forms in different economic environments and the measurements of investment risk. At last we draw a conclusion that the new European option-pricing model is better than Black-Scholes European option-pricing model which bases on Brown Motion.

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CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
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