摘要
传统的股价序列都是按照均匀时间间隔采样进行分析的 ,但实际上股价的变化并不是基于均匀日历时间 ,而是基于交易过程推进的 .提出了股价推进的成交量进程假设 ,阐述了基于成交量进程的股价动力学分析方法 ,对上证综合指数进行了实证研究 .结果表明 。
The traditional time series analysis of stock price lacks a crucial factor——trading volume. Even more, it was based on that the stock price was driven by the calendar time. In fact, this paper suggested that the price movements are driven by the trading process. Under the trading volume driven hypothesis, it put forward a new method——trading volume driven dynamic analysis of stock prices. An empirical research confirms the effectiveness of the method.
出处
《上海交通大学学报》
EI
CAS
CSCD
北大核心
2003年第4期604-606,609,共4页
Journal of Shanghai Jiaotong University
基金
国家杰出青年科学基金 ( 70 0 2 5 3 0 3 )
教育部跨世纪优秀人才基金资助项目
关键词
成交量进程
日历时问进程
股价
trading volume driven
calendar time
stock price
