【摘要】：基于任意時間窗口內(nèi)具有無限到達(dá)率的資產(chǎn)價(jià)格跳躍行為近期引起學(xué)術(shù)界的廣泛關(guān)注。本文對傳統(tǒng)的無限活躍跳躍行為辨識方法——閾值p冪次變差(TM PV)方法存在的閾值時變性問題進(jìn)行了修正,基于蒙特卡洛技術(shù)的模擬結(jié)果驗(yàn)證了改進(jìn)之后的模型具有更好的效果。進(jìn)一步,基于改進(jìn)的TM PV模型對中國證券市場不同類型個股進(jìn)行了實(shí)證研究,結(jié)果發(fā)現(xiàn)在中國證券市場無限活躍跳躍是一種常態(tài)下的價(jià)格行為,這種現(xiàn)象幾乎每天都在發(fā)生,因此基于無限活躍跳躍的資產(chǎn)價(jià)格模型更適合于刻畫我國證券市場的價(jià)格過程。
[Abstract]:The jump behavior of asset price with infinite arrival rate in any time window has attracted much attention recently. In this paper, the threshold time-varying problem of the traditional infinite active jump behavior identification method-threshold p power variation (TM PV) method is modified. The simulation results based on Monte Carlo technique show that the improved model has better effect. Furthermore, based on the improved TM PV model, this paper makes an empirical study of different types of individual stocks in China's securities market. The results show that the infinite active jump is a normal price behavior in China's securities market, and this phenomenon occurs almost every day. Therefore, the asset price model based on infinite active jump is more suitable to describe the price process of China's securities market.
【作者單位】： 天津大學(xué)管理與經(jīng)濟(jì)學(xué)部;
【分類號】：F832.51;F224
，

本文編號：2130394