摘要
建立了资本市场跳跃检测的数理方法,并用高频数据对上海综指和上海证券市场不同板块八只股票的跳跃情况进行了实证检测.首先,将资本市场的跳跃分为泊松跳跃和列维跳跃,推导和证明了泊松跳跃和列维跳跃检测的统计量.以此理论为基础,再对中国证券市场的泊松跳跃和列维跳跃检测情况进行了实证研究.研究发现:上证综指收益率跳跃比率和其他八只股票收益率跳跃比率相比是最小的;列维跳跃的强度明显高于泊松跳跃的强度.所建立的检测统计量能具体定位哪一个收益率包含泊松跳跃或列维跳跃,具有一定的创新性.
This paper establishes a mathematical method to detect the jump in the capital markets,detects empirically the jump on the Shanghai Composite Index and the eight stocks of the different sections stocks in Shanghai stock market.We have divided jumps in the capital into the Poisson jump and the Levy jump,discussed and theoretically proved the Poisson jump and the Levi jump detection statistic.Based on the jump detection statistic,we have carried out the empirical research on the Poisson jump and Levi jump detection in the China's securities market.It is found that the Shanghai Composite Index yield jump ratio is smaller than the other entire eight stock returns jump ratio.We also find out that Levy jump intensity significantly is higher than the intensity of the Poisson jump.The statistic on detecting the jump created in this paper can locate which yield contains the Poisson jump or Levy jump, which is innovative.
出处
《系统科学与数学》
CSCD
北大核心
2013年第5期511-527,共17页
Journal of Systems Science and Mathematical Sciences
基金
国家自然科学基金(71171128)资助课题
关键词
泊松跳跃
列维跳跃
QQ检测
跳跃强度
The Poisson jump
Levy jump
the QQ test
the jump intensity