动态二元混合模型在量价关系中的应用研究

A Study on the Application of Dynamic Bivariate Mixture Model in Price-volume Relationship

文章首次引入动态二元混合分布模型,并利用该模型对中国股票市场的量价关系进行了实证研究。研究结论认为:动态二元混合分布模型能在很大程度上捕捉收益波动的持续性特征,并能揭示交易量与收益波动的联动规律性,但同时该模型也存在一定的缺陷。文章对模型存在缺陷的原因进行了分析,并提出修正建议。

This paper is the first one to have introduced the Dynamic Bivariate Mixture Distribution Models(DBMD) and to have used it to make an empirical study on price-volume relationship in China's stock market. The results of the study show that the DBMD models can capture the persistence of return volatility, and reveal the joint dynamic relations between price volatility and trading volume. But there are shortcomings in the models. The paper analyses the causes of these shortcomings and puts forward some suggestion to revise it.