马钢认股权证的协整分析

The Application of Co-integration in Ma-gang Warrant

协整理论为非平稳时间序列数据的建模提供了很好的解决方法。文章利用协整理论对马钢认股权证的理论价值与市场价格,以及认股权证市场价格与标的股票价格之间进行分析。

The Co - integration theory is a superiority method in non - linear variable in economic field. In the part of ease study, the eo - integration relation between the price in theory and the price in market of Ma - gang warrant, and between the prices in market of MA - gang warrant and MA - gang stock, have been checked.