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一种广义的二元混合分布模型在中国股票市场的应用研究

An Applied Study with a Generalized Bivariate Mixture Model in China Stock Market
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摘要 首次引入一种广义的二元混合分布模型,从信息经济学的视角揭示中国股票市场价格波动与交易量的动态特征及联合分布.结论显示,Tauchen and Pitts的标准二元混合模型在捕捉价格波动的持续性上还存在一定的缺陷,而Liesenfeld提出的广义二元混合模型(GBMM)明显优于标准二元混合模型,我们还对GBMM模型进行了再扩展. A generalized bivariate mixture model is introduced for the first time in this paper It is used to study the dynamic characteristics and joint distribution of price-volume relation in China Stock Market. The including shows that the GBMM is preceded with the standard bivariate mixture model in capturing the volatility persistence, and it is extended again by us.
作者 李双成 王红霞 赵秀恒
机构地区 河北经贸大学数学与统计学学院
出处 《数学的实践与认识》 CSCD 北大核心 2007年第16期32-39,共8页 Mathematics in Practice and Theory
基金 河北省科技厅科研项目资助(064572176) 河北省科技厅科研项目资助(05457204D)
关键词 量价关系 广义二元混合分布模型 波动持续性 price-volume relation generalized bivariate mixture model （GBMM） volatility persistence
分类号 F832.51 [经济管理—金融学] F224 [经济管理—国民经济]
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参考文献11

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二级参考文献18

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共引文献42

数学的实践与认识
2007年 第16期

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