| 股票市场价格行为的理论模型分析 |
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| 引用本文： | 杨亚男 张庆君. 股票市场价格行为的理论模型分析[J]. 辽宁工学院学报, 2005, 25(2): 137-140 |
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| 作者姓名： | 杨亚男 张庆君 |
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| 作者单位： | 锦州医学院畜牧兽医学院，锦州医学院畜牧兽医学院 辽宁锦州 121000，辽宁锦州 121000 |
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| 摘 要： | 针对股票市场价格行为的尖峰厚尾态和有偏性以及波动聚类等特点，论证了国际上广为接受的跨期依赖模型(Intertemporal Dependence Models)，t-分布模型，广义混合正态分布模型和泊松跳跃模型，并对股票市场价格行为的各种理论模型作了深入的分析。
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| 关 键 词： | 股票 市场分析 价格 尖峰态 t-分布模型 |
| 文章编号： | 1005-1090(2005)02-0137-04 |
| 修稿时间： | 2004-10-15 |
Theoretic Model Analysis of Price Behavior in Stock Market |
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| YANG Ya-nan,ZHANG Qing-jun. Theoretic Model Analysis of Price Behavior in Stock Market[J]. Journal of Liaoning Institute of Technology(Natural Science Edition), 2005, 25(2): 137-140 |
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| Authors: | YANG Ya-nan ZHANG Qing-jun |
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| Abstract: | On the basis of characteristic of price behavior in stock market,that is,three typical characteristics of the financial time series(fat tails,excess kurtosis,volatility clustering),intertemporal dependence models widely used internationally were verified,i.e,T-distributive model,generalized and normal distribution one and Bersoon one.Further analyses of differentt theory models on price behaviors in stock market were presented. |
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| Keywords: | volatility clustering fat tails excess kurtosis |
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