欢迎您！东篱公司
退出
-
申报数据库
-
立项数据库
-
成果数据库
-
项目获奖数据库
中文摘要：
本文运用生存分析与变点理论对上证指数进行了研究，发现连涨和连跌的股指服从伽玛分布，表明股市是有记忆的并且不服从随机游动假说。当股市发生变化时，伽玛分布的参数也会发生变化，而且伽玛分布的两个参数很好地反映了牛市、熊市的变化以及股市波动的变化。我们运用变点理论对这一变化进行了实证分析，得出了一些有意义的结论。
英文摘要：
In this paper, the successive rises and fails of Shanghai stock index returns are analyzed by survival analysis and change point theory. The distributions of the successive rises and fails of returns are fitted with Gamma distribution. It shows the stock market has the memory and does not follow the random walk hypothesis. The parameters change when the stock market changes, and the two parameters properly reflect the changes of bull and bear markets, also the fluctuations of the market. With the change point theory, we analyze the change of the stock market, and draw some meaningful conclusions.
同期刊论文项目
同项目期刊论文
期刊信息
位置：