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dc.contributor.advisor蔡宗武
dc.contributor.author任乾
dc.date.accessioned2016-02-23T01:29:02Z
dc.date.available2016-02-23T01:29:02Z
dc.date.issued2015-07-10 16:24:16.0
dc.identifier.urihttps://dspace.xmu.edu.cn/handle/2288/97481
dc.description.abstract本文从资产定价理论和交易实践对价格趋势现象关注点的差异出发,通过适当的数据驱动方法度量价格趋势进而进行统计分析。文章首先结合线性分位数回归方法改进SBT分段算法,得到更加准确与稳健的价格时间序列逐段线性表示,然后以趋势段为分析单位进行统计依赖分析,发现七个主要国家共九个股票市场自2006年1月到2014年4月的数据表现与基于几何布朗运动假设的CAPM模型模拟数据表现存在明显差异。真实市场的趋势段斜率转移散点图表现出明显的横纵轴聚集现象,相比于模拟市场表现出更频繁的平缓趋势与陡峭趋势间转换。行为金融学和心理学文献有关于价格支撑阻力位乃至价格趋势形成的微观解释,而本文报告的聚集特征可以认为是对这一...
dc.description.abstractInspired by the discrepancy in the interest in price trends between asset pricing theories and trading practices, this paper establishes measurement of price trends with selected data-driven methods, thus making the concept penetrable by statistical analysis. First, this paper obtains a more accurate and robust piecewise linear representation of price series using SBT segmentation algorithm extend...
dc.language.isozh_CN
dc.relation.urihttps://catalog.xmu.edu.cn/opac/openlink.php?strText=46928&doctype=ALL&strSearchType=callno
dc.source.urihttps://etd.xmu.edu.cn/detail.asp?serial=49585
dc.subject价格趋势
dc.subject趋势转移
dc.subject交易策略
dc.subjectPrice Trend
dc.subjectTrend Transition
dc.subjectTrading Strategy
dc.title价格趋势转移与交易策略
dc.title.alternativePrice Trend Transition and Trading Strategy
dc.typethesis
dc.date.replied2015-05-08
dc.description.note学位:经济学硕士
dc.description.note院系专业:王亚南经济研究院_数量经济学
dc.description.note学号:27720121152645


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