摘要
对有效证券市场上理性泡沫的产生条件、度量方法和形成原因进行了分析;并对我国股市的泡沫进行了相应的实证分析.在上述研究的基础上,探讨了与度量股市泡沫相反的问题,即如何从股票价格的波动中滤去泡沫从而识别出股票内在价值的信息.用Kalman滤波方法对股票内在价值进行信息滤波与预测.
The producing conditions, measurement methods and forming reasons of the rational bubble in efficient stock markets were discussed. The corresponding empirical analysis for the bubbles in Chinese stock market was made. On the basis of the above studies, the problem reversed to the measurement of the bubbles in stock markets was discussed, i.e., how to distinguish stocks value from the stock prices with the bubbles filtered. The method of Kalman filter to filter and forecast the information of stocks value from the stock prices was first introduced.
出处
《系统工程理论与实践》
EI
CSCD
北大核心
2006年第4期32-43,共12页
Systems Engineering-Theory & Practice
基金
中国博士后科学基金(2003034280)
江西省自然科学基金(03yi10)