Hu Xijian, Han Dong. Asymptotic Distributions of Return for Several Stocks with Trading Volume[J]. Chinese Journal of Applied Probability and Statistics, 2008, 24(1): 83-97.
Citation: Hu Xijian, Han Dong. Asymptotic Distributions of Return for Several Stocks with Trading Volume[J]. Chinese Journal of Applied Probability and Statistics, 2008, 24(1): 83-97.

Asymptotic Distributions of Return for Several Stocks with Trading Volume

  • 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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