|
|||||
|
|
| 运用生存分析与变点理论对上证指数的研究 | |
| 引用本文： | 雷鸣,谭常春,缪柏其. 运用生存分析与变点理论对上证指数的研究[J]. 中国管理科学, 2007, 15(5): 1-8 |
| 作者姓名： | 雷鸣 谭常春 缪柏其 |
| 作者单位： | 1. 南京财经大学金融学院 南京210003;2. 中国科学技术大学统计与金融系 合肥230026 |
| 基金项目： | 国家自然科学基金;国家软科学基金;江苏省社会科学基金 |
| 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。 |
| 关 键 词： | 生存分析 伽玛分布 变点理论 |
| 文章编号： | 1003-207(2007)05-0001-08 |
| 收稿时间： | 2006-11-10 |
| 修稿时间： | 2006-11-10 |
Study of Shanghai Stock Index with Survival Analysis and Change Point Theory |
|
| LEI Ming,TAN Chang-chun,MIAO Bai-qi. Study of Shanghai Stock Index with Survival Analysis and Change Point Theory[J]. Chinese Journal of Management Science, 2007, 15(5): 1-8 | |
| Authors: | LEI Ming TAN Chang-chun MIAO Bai-qi |
| Affiliation: | 1. School of Finace, Nanjing University of Finance& Economics, Nanjing 210003, China;2. Dept.of Statistics and Finance, University of Science& Technology of China, Hefei 230026, China |
| Abstract: | In this paper,the successive rises and falls of Shanghai stock index returns are analyzed by survival analysis and change point theory. The distributions of the successive rises and falls 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. |
| Keywords: | survival analysis gamma distribution change point theory |
| 本文献已被 维普 万方数据 等数据库收录！ | |
| 点击此处可从《中国管理科学》浏览原始摘要信息 | |
| 点击此处可从《中国管理科学》下载全文 | |