Analysis of Investor's Expectation Based on Strategy Tendency and the Market Maker Model

Concept of strategy tendency is introduced into investors's expectation of price and demand function of risk assets in two classes;two classes of investors use two strategies simultaneously,but with different weights,then basing on market maker mechanism,an improved model is obtained.Theoretical analysis and numerical simulation show that after the model is improved:(1) Volatility clustering of price series around fundamental price is inconspicuous,and price series created by the improced model is closer to the real prices;(2) Distribution of return's excess kurtosis and fat tail are more obvious and closer to the real market.