考虑成交量的股票收益率的渐近分布

Asymptotic Distributions of Return for Several Stocks with Trading Volume

  • 摘要: 在本文中, 我们提出了一类直接描述多只股票收益率受股票本身的量价影响及其它股票的量价影响下的非线性统计模型. 我们证明了在不同的参数取值下, 收益率序列分别依分布收敛于L\'evy指数稳定分布和L\'evy稳定分布.

     

    Abstract: In this paper, we present a nonlinear statistical model which describes directly the interaction relationship between stock's return and itself historical volumes and prices and other stocks' volumes and prices. Further, we prove that a sequence of the returns can converge in distribution to an exponentially L\'evy stable distribution or L\'evy stable distribution, depending on different value of parameter.

     

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