异常市场的判别

The Testing for Singular Market

给出了股票价格的Black Scholes模型中股票期望收益率μ及波动率σ2的估计,并证明了这种估计的良好性质。给出异常市场判别准则,提出第一、第二警戒值的计算公式。

The expected return rate μ and volatility σ2 of stock are estimated.Some opimal properties of the estimaters are proved.The method for testing singular market is given.The first and second critical value are proposedsented.