| 股票价格运行的幂律特征及幂律跳跃扩散模型 |
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| 引用本文： | 曹宏铎,李旲,何智. 股票价格运行的幂律特征及幂律跳跃扩散模型[J]. 管理科学学报, 2011, 14(9) |
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| 作者姓名： | 曹宏铎 李旲 何智 |
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| 作者单位： | 中山大学管理学院,广州,510275 |
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| 基金项目： | 国家自然基金资助项目(7080106671071168); 中央高校科研基本业务费资助项目(1009028) |
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| 摘 要： | 在Merton提出的跳跃扩散模型的逻辑框架之下,完成了两方面的修正工作:将计数过程由Poisson过程修正为带有幂律性质的更新过程,同时,赋予股票价格运动过程发生跳跃的时间和幅度以幂律分布特征.通过实证研究表明,修正后可以更加准确地描述股票价格的运动过程,同时得到具有尖峰胖尾的收益率分布和波动聚集性.以此为基础可以更加准确地为期权等金融衍生品进行定价,同时也为金融风险管理提供了有效工具.
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| 关 键 词： | 人类行为动力学 跳跃扩散模型 更新过程 幂律分布 |
Stock pricing model:Jump diffusion model of power law |
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| CAO Hong-duo,LI Ying,HE Zhi. Stock pricing model:Jump diffusion model of power law[J]. Journal of Management Sciences in China, 2011, 14(9) |
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| Authors: | CAO Hong-duo LI Ying HE Zhi |
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| Affiliation: | CAO Hong-duo,LI Ying,HE Zhi Business School of Sun Yat-sen University,Guangzhou 510275,China |
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| Abstract: | Based on the Merton's jump diffusion model,two amendments are carried out.Firstly,the counting process(Poisson process) will be amended by the renewal process with power-law nature.Secondly,the magnitude of the jump has also been given the characteristics of power-law nature.By empirical research,it is found that the model could accurately describe the process of the stock price movement,and get a yield with fat-tailed distribution and volatility clustering.As a basis,the model can be used to more accuratel... |
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| Keywords: | dynamics of human behavior jump diffusion model renewal process power-law distribution |
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