异常波动与资产定价模型

Abnormal Fluctuations and Asset Pricing Models

本文介绍了异常波动的概念 ,并给出从涨跌幅角度和收益率分布角度的定量化定义。然后讨论了异常波动对资产定价检验模型的影响 ,探讨了异常波动的处理方法 ,包括人工观察方法和算法辨识方法。

The paper introduces the concept of the abnormal fluctuation, and gives two quantitative definitions about the abnormal fluctuation, one from a view of the rise/drop magnitude and the other from the distribution of return. It discusses the influence of asset pricing model by the abnormal fluctuation, and puts forward two approaches dealing with abnormal fluctuation, including observing and algorithm discrimination.