中国证券市场无限活跃跳跃问题
发布时间：2018-07-17 17:24
【摘要】：基于任意时间窗口内具有无限到达率的资产价格跳跃行为近期引起学术界的广泛关注。本文对传统的无限活跃跳跃行为辨识方法——阈值p幂次变差(TM PV)方法存在的阈值时变性问题进行了修正,基于蒙特卡洛技术的模拟结果验证了改进之后的模型具有更好的效果。进一步,基于改进的TM PV模型对中国证券市场不同类型个股进行了实证研究,结果发现在中国证券市场无限活跃跳跃是一种常态下的价格行为,这种现象几乎每天都在发生,因此基于无限活跃跳跃的资产价格模型更适合于刻画我国证券市场的价格过程。
[Abstract]:The jump behavior of asset price with infinite arrival rate in any time window has attracted much attention recently. In this paper, the threshold time-varying problem of the traditional infinite active jump behavior identification method-threshold p power variation (TM PV) method is modified. The simulation results based on Monte Carlo technique show that the improved model has better effect. Furthermore, based on the improved TM PV model, this paper makes an empirical study of different types of individual stocks in China's securities market. The results show that the infinite active jump is a normal price behavior in China's securities market, and this phenomenon occurs almost every day. Therefore, the asset price model based on infinite active jump is more suitable to describe the price process of China's securities market.
【作者单位】： 天津大学管理与经济学部;
【分类号】：F832.51;F224
，
本文编号：2130394
[Abstract]:The jump behavior of asset price with infinite arrival rate in any time window has attracted much attention recently. In this paper, the threshold time-varying problem of the traditional infinite active jump behavior identification method-threshold p power variation (TM PV) method is modified. The simulation results based on Monte Carlo technique show that the improved model has better effect. Furthermore, based on the improved TM PV model, this paper makes an empirical study of different types of individual stocks in China's securities market. The results show that the infinite active jump is a normal price behavior in China's securities market, and this phenomenon occurs almost every day. Therefore, the asset price model based on infinite active jump is more suitable to describe the price process of China's securities market.
【作者单位】： 天津大学管理与经济学部;
【分类号】：F832.51;F224
，
本文编号：2130394
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