The Limit Distributions of Return in Stock Market
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摘要: 本文提出了一个描述股市收益率与成交量变化率的关系的非线性统计模型.通过这个模型我们证明了收益率序列{rn}依参数不同分别依分布收敛于指数列维稳定分布和列维稳定分布.Abstract: A nonlinear statistical model which describes a relationship between the return and the relative rate of trading volume in stock market is presented in this paper. By this model we prove that a sequence of the return {rn} can converge in distribution to an exponentially Levy stable distribution or a usual Lévy stable distribution, depending on different regions of some parameters.
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Keywords:
- Trading volume and return /
- flat tail /
- stable law /
- limit distribution
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