摘要
市场认为将基本面分析和技术分析策略进行组合能有效提高分析准确度,而以往对于策略间组合的效率研究相对空缺。以技术分析流派噪音理论以及行为金融正反馈模型为理论基础,结合概率论的推导证明,在大样本性质下策略的组合难以有效提高分析准确度,且认为组合胜算得到提高的概率并非所使用策略胜算的单调函数,即胜算越高的策略进行组合,其产生的策略组合未必能有效提高分析准确率。
The market believes the combination of fundamental analysis and technical analysis strategy can ef- fectively improve theaccuracy of the analysis, and pastresearch of the efficiency of strategyportfolio is relativelyva- cant. This paper is base on noise theory and the positive feedback theory , and make a use of probability theory to proof that a combination of strategies in a large sample properties difficult to improve the analysis accuracy effective- ly. The research also indicate that the probability of improvement of thecombinationodds isnotamonotonic functiono- fsinglestrategy＇sodds. That is , the strategy portfolio＇ s odds may not be effectively improve by the single strategy which with higher odds.
出处
《经济问题》
CSSCI
北大核心
2013年第10期51-53,86,共4页
On Economic Problems
关键词
策略组合
胜算
正反馈
strategy portfolio
odds
positive feedback
