| 日历、成交量进程和股价波动率的关系 |
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| 引用本文： | 王柱,吴冲锋,王欣荣,冯芸.日历、成交量进程和股价波动率的关系[J].上海交通大学学报,2006,40(4):615-618. |
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| 作者姓名： | 王柱 吴冲锋 王欣荣 冯芸 |
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| 作者单位： | 上海交通大学,安泰经济与管理学院,上海,200052 |
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| 基金项目： | 国家杰出青年科学基金(70025303) |
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| 摘 要： | 在成交量进程标度的股票价格动力学方程为几何布朗运动的假设下,将股票价格动力学方程的进程标度从成交量进程转换到日历进程.转换后的股价动力学方程能表现出异步交易特性,也能表现出股票收益率与成交量的非线性关系,而且能表现出股票收益波动率与成交量的非线性关系.通过对沪深两市共21支流通市值较大股票的实证检验,表明该模型能显著改进股票收益率的正态性.
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| 关 键 词： | 日历进程 成交量进程 异步交易 |
| 文章编号： | 1006-2467(2006)04-0615-04 |
| 收稿时间： | 2005-03-27 |
| 修稿时间： | 2005年3月27日 |
The Relationship of the Calendar Process, Transaction Process and the Price Volatility |
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| WANG Zhu,WU Chong-feng,WANG Xin-rong,FENG Yun.The Relationship of the Calendar Process, Transaction Process and the Price Volatility[J].Journal of Shanghai Jiaotong University,2006,40(4):615-618. |
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| Authors: | WANG Zhu WU Chong-feng WANG Xin-rong FENG Yun |
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| Institution: | Antai School of Economics and Management, Shanghai Jiaotong Univ. , Shanghai 200052, China |
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| Abstract: | The stock price is supposed to follow a geometric Brownian process under the transaction process,and the corresponding one under the calendar process has been reduced theoretically.The model shows the property of non-linear relationship between stock price and its volatility and between stock price and its trade volume,what's more,the new model can take on non-synchronous trade effect.The empirical study was done through 21 relatively big-scaled stocks traded in Shanghai Exchange and Shenzhen Exchange.The result shows the model can improve the normality of the stock returns considerably. |
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| Keywords: | calendar process transaction process non-synchronous trade |
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