基于二维跳扩散模型的股市相关性研究

发布时间：2018-05-13 18:44

本文选题：资产定价理论 + 跳扩散模型　；参考：《经济理论与经济管理》2010年07期

【摘要】：本文分析了在扩散模型中引入跳部分描述资产价格异动的经济逻辑,并进一步细化跳产生的经济原因,引入具有相关性的多维泊松过程描述不同股票市场价格的异常波动次数,推广了现有的多维跳扩散模型。并应用推广后的模型,以中国A股市场和中国香港股票市场指数为样本,分析两个市场异动的相关性,同时结合新闻数据赋予统计结果以经济解释。
[Abstract]:This paper analyzes the economic logic of introducing jump part to the diffusion model to describe the fluctuation of asset price, and further refines the economic reasons of the jump, and introduces a multi-dimensional Poisson process with correlation to describe the abnormal fluctuation times of different stock market prices. The existing multi-dimensional jump diffusion model is generalized. Using the extended model, this paper analyzes the correlation between the two markets by taking the index of China A-share market and Hong Kong stock market as samples, and gives the statistical results with economic explanation combined with the news data.
【作者单位】：中国人民大学财政金融学院;
【基金】：国家杰出青年科学基金项目(70725003)
【分类号】：F224;F830.91

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