关于股票价格模型的假设检验  

Hypothesis Test on Stock Price Model

作　　者：刘伟[1] 

机构地区：[1]上海金融学院统计系,上海201209

出　　处：《应用数学学报》2010年第4期723-731,共9页Acta Mathematicae Applicatae Sinica

基　　金：上海市教委重点学科建设项目<开放条件下宏观金融稳健性监测系统研究:制度框架与统计建模>(项目编号:J51601)资助项目

摘　　要：股票模型是人们用来描述股票价格波动特征的重要工具,包括Black-Scholes'模型,随机波动率模型和更一般化的指数Levy过程模型等.同时,一些流行的技术指标(例如布林带,RSI,ROC)被股市交易者广泛使用.交易者将每日(小时,周)实际股价作为计算某个技术指标的样本,通过观察相关频率指导投资.技术指标的有效性已在实际应用中得到充分验证.已有研究成果证明股价模型成立时,一些常用的技术指标有良好的统计性质,从而解释了技术分析的合理性.本文将从另一个角度出发,利用技术指标ROC的历史数据,拒绝股票价格波动服从指数Levy过程模型的假设.The stock price model is an important tool which can describe the character of the stock price.In the analysis of stock market,some popular stock price model are widely discussed,including Black-Scholes＇ model,stochastic volatility model and more general exponential Levy process model.On the other hand,some popular technical analysis indicators（e.g.Bollinger Bands,RSI,ROC,…） are widely used by traders.The efficiency of those indicators is＂proved＂by the observed relative frequency of occurrence of the corresponding behaviors of stock prices.In earlier work,we made some research between technical analysis indicators and stock price model.Under some particular model,we found many useful properties of the indicators which successfully explained the rationality of technical analysis.In this paper,we do some research in another perspective.We try hypothesis test on exponential Levy process model and found we can reject＂stock price follows exponential Levy process model＂by indicator ROC.

关 键 词：指数Levy过程模型 假设检验 技术分析指标 ROC 

分 类 号：O211.6[理学—概率论与数理统计]