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混合分布理论研究 被引量：3

Research on Mixture Distribution Hypothesis
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摘要 结合中国股票市场数据研究了混合分布假设,并给出了有流动性交易者的正态分布型混合分布模型.在模型推导的基础上,实证研究结果表明该模型是成立的,说明交易量在金融研究中有着重要作用. This paper researched the mixture distribution hypothesis using the data of China's capital market. And a new model of normal distribution with liquidity traders was given. On the base of the model deduction, the empirical research supports it. The results show that trading volume plays an important role in financial research.
作者 王承炜 吴冲锋 朱战宇
机构地区 上海交通大学安泰管理学院
出处 《上海交通大学学报》 EI CAS CSCD 北大核心 2004年第3期335-339,共5页 Journal of Shanghai Jiaotong University
基金 国家杰出青年科学基金(70025303) 教育部跨世纪优秀人才资助项目
关键词 混合分布假设 流动性交易者 交易量 mixture distribution hypothesis liquidity trader trading volume
分类号 F830.91 [经济管理—金融学]
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参考文献14

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  • 2[2]Epps T W, Epps M L. The stochastic dependence of security price changes and transaction volumes: implications for the mixture-of distributions hypothesis [J]. Econometrica, 1976, 44:305-321.
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同被引文献34

  • 1江蕾,蒋远馨.中国人口死亡率与经济发展水平关系的实证研究:1952-2002年[J].中国人口科学,2005(S1):179-183. 被引量：6
  • 2严海芳.对数正态分布的MCEM加速算法[J].青海大学学报（自然科学版）,2012,30(2):74-76. 被引量：2
  • 3朱利平,卢一强,茆诗松.混合指数分布的参数估计[J].应用概率统计,2006,22(2):137-150. 被引量：42
  • 4马志明,刘瑞元,习丽.多个子总体混合分布的参数估计[J].西北民族大学学报（自然科学版）,2007,28(1):11-15. 被引量：4
  • 5Maurice A.A restatement of the quantity theory of money[J].American Economic Review,1966,56:1123-1157.
  • 6Barro R J.Inflation,the payments period,and the demand for money[J].Journal of Political Economy,1970,78:1228-1263.
  • 7Mandelbrot B B,Taylor H W.On the distribution of stock price differences[J].Operations Research,1967,15:1057-1062.
  • 8Clark P K.A subordinated stochastic process model with finite variance for speculative prices[J].Econometrica,1973,41:135-156.
  • 9Tauchen G E,Pitts M.The price variability-volume relationship on speculative markets[J].Econometrica,1983,51:485-505.
  • 10Harris L.Transaction data tests of the mixture of distributions hypothesis[J].Journal of Financial and Quantitative Analysis,1987,22:127-141.

引证文献3

二级引证文献6

上海交通大学学报
2004年 第3期

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