运用生存分析对沪铜现货价格的再研究

Deeper Study of Shanghai Copper Price with Survival Analysis

利用生存分析和指数分布对沪铜的现货价格做进一步研究,发现放宽置信度,在不同的历史时期,价格的连涨连跌变化率在服从Weibull分布的基础上,也可以认为服从不同参数的指数分布,且参数的变化反映价格波动及市场结构的情况,进而得出一些有意义的结论。

The price of Shanghai copper is studied deeply by using survival analysis and exponential distribution.It is found that in different historical periods,if the confidence is extended,the price change rate of the successive rises and falls follows Weibull distribution and also exponential distribution with different parameters and the variation of parameter reflects the price fluctuation and the structure of market.At last,some meaningful conclusions are gotten.