摘要
在证券市场,布林带作为流行的技术分析工具被广泛的运用.到目前为止有许多模型被建立用来预测证券的价格,因此研究这些模型是否具有布林带性质是一个重要的问题.Liu,Huang and Zheng(2006)和Liu and Zheng(2006)分别讨论了Black-Scholes模型和随机波动率模型作为真实的股票市场的布林带,并且证明了相应的统计量的平稳性和大数定律成立.本文我们将上述结果推广到马氏调制的几何布朗运动模型.
In the stock market, Bollinger bands as a popular technical analysis tool are widely used by traders. There are a lot of models built to forecast the stock price, so it is a significant issue to investigate whether these models have Bollinger band property. Liu, Huang and Zheng （2006） and Liu and Zheng （2006） discussed the Bollinger bands for Black-Scholes model and stochastic volatility model as real stock markets, respectively. The stationarity and the law of large number of the corresponding statistics were proved. In this paper, we extend the above results to the general model of Markov-modulated geometric Brownian motion.
出处
《应用概率统计》
CSCD
北大核心
2007年第4期428-433,共6页
Chinese Journal of Applied Probability and Statistics
基金
Research partially supported by N.S.F.C.Grant 10371074 and 10671072by"Shu Guang"project(04SG27)of Shanghai Municipal Education Commission and Shanghai Education Development Foundationby Doctoral Program Foundation of the Ministry of Education of China(20060269016)by Anhui Province university young teacher scientific research funds 2006jq1045.
关键词
马氏调制的几何布朗运动
布林带
平稳过程
Markov-modulated geometric Brownian motion, Bollinger band, stationary
