生存分析与股指涨跌的概率推断  

Survival analysis and the probability inference about the stock index

作　　者：雷鸣[1] 叶五一[2] 缪柏其[2] 郭文旌[1] 

机构地区：[1]南京财经大学金融学院,南京210003 [2]中国科学技术大学管理学院统计与金融系,合肥230026

出　　处：《管理科学学报》2010年第4期57-66,75,共11页Journal of Management Sciences in China

基　　金：国家自然科学基金资助项目(70471071);国家软科学研究计划资助项目(2006GXQ3D134);江苏省高校哲学社会科学基金资助项目(07SJB790013)

摘　　要：通过研究上证指数连涨连跌的收益率,发现其服从伽玛分布,并且可得出股指涨跌的条件概率,以及极值时的情况,进一步研究了成交量的影响,从而说明了技术分析特别是价量分析为何在实际中仍然被广泛运用.可认为随机游动假说是一种粗糙的近似,本研究也有助于加深对市场有效性理论的认识.In this paper, the successive rises and falls of Shanghai stock index returns arc analyzed by survival analysis and extremum theory. The distributions of the successive rises and falls of returns are fitted with Gamma distribution. The conditional probability of the rises and falls of the stock index is obtained. Also the influence of the volume is analyzed. We think that the random walk hypothesis is only a rough approximation. And our study helps to better understand the efficient market theory.

关 键 词：生存分析 伽玛分布 概率推断 随机游动 

分 类 号：F832.5[经济管理—金融学]