| 股票价格冲击混合分布分类信息GARCH模型及其应用 |
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| 引用本文： | 寻明辉,石桂峰. 股票价格冲击混合分布分类信息GARCH模型及其应用[J]. 上海交通大学学报, 2007, 41(7): 1105-1109 |
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| 作者姓名： | 寻明辉 石桂峰 |
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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;上海交通大学,安泰经济与管理学院,上海,200052 |
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| 摘 要： | 基于现有的股票价格时间序列模型,建立了一个股票价格冲击混合分布分类信息GARCH模型,引入指令簿信息,可以在解释股价变动的自相关性和异方差特性的同时,度量交易量对价格的冲击系数,进一步将价格冲击系数应用于投资优化中,可以得到投资组合的最优交易策略.
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| 关 键 词： | 价格冲击 分类信息 限价指令 广义自回归条件方差 |
| 文章编号： | 1006-2467（2007）07-1105-05 |
| 修稿时间： | 2006-07-20 |
Impacts on Stock Price through Mixed Distribution Classified Information GARCH Model and Its Application |
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| XUN Ming-hui,SHI Gui-feng. Impacts on Stock Price through Mixed Distribution Classified Information GARCH Model and Its Application[J]. Journal of Shanghai Jiaotong University, 2007, 41(7): 1105-1109 |
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| Authors: | XUN Ming-hui SHI Gui-feng |
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| Abstract: | Based on the stock price timing serial model,this article established a mixed distribution classified information GARCH(Generalized Autoregressive Conditional Heteroscedasticity) model,introducing the information from order books.Thus,it can measure the stock price impact coefficient from trade volume,and at the same time explain the auto-correlation and heteroscedastic characteristic of price variation.Furthermore,the price impact coefficient is applied to investment optimization,thus an optimal(cashing) strategy of the investment portfolio is achieved. |
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| Keywords: | price impact classified information limit order generalized autoregressive conditional(heteroscedasticity)(GARCH) |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
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