交易量和交易量驱动的股价动力学分析方法  

Trading volume and dynamic analytic method based on volume-driving prices

作　　者：吴冲锋[1] 王承炜[1] 吴文锋[1] 

机构地区：[1]上海交通大学金融工程研究中心,上海200052

出　　处：《管理科学学报》2002年第1期1-11,共11页Journal of Management Sciences in China

基　　金：国家杰出青年科学基金资助项目( 70 0 2 530 3);教育部跨世纪优秀人才资助项目

摘　　要：近 2 0年来 ,理论界开始更加注重交易量在研究中的重要作用 ,特别是从信息的角度出发 ,研究者相信交易量能提供独立于股票价格之外的信息 .但是如何将交易量合适地融入价格序列中仍然是一个争论的话题 .本文系统地回顾了国内外有关交易量的研究现状 ,指出由于累计交易量是时间的单调增函数 ,与时间相比 ,交易量不仅包含有时间价值因素 ,而且还包含了交易成本等信息价值因素 .随后本文提出了交易量驱动的价格变化的研究思想 .在此基础上给出了基于交易量进程的股价动力学分析方法以及两种构造交易量进程的股价序列方法 ,指出在日历时间假设下的时间序列和在交易时间假设下的时间序列是交易量进程假设的特例 .通过随机选择 1 8个股票的实证研究初步表明 ,在更低的阶数或更少的参数情况下 。In recently twenty years, academics attach more weight to the volume research. Especially in term of information, researchers believe that trading volume can provide information independent of the prices. But it still remains an open question as how to reconcile the volume part into the prices. This paper systematically review the existent research on trading volume domestic and aboard, and indicates that as the cumulative trading volume is a monotonously increasing function of time, trading volume contains not only time value factor(as does time), but also contains such information value factors as trading costs. Then, we bring forward the idea of volume driving price(VDP) and give the dynamic analytic method based on VDP and two methods to construct trading process of prices. We point out that the time series under both the calendar time hypothesis and the trading time hypothesis are peculiar situations of the trading volume hypothesis. Through the empirical research of 18 random chosen stocks, it was found that with lower orders and fewer parameters, this model has higher fitting capacity and explanatory capacity.rading costs.Then,we b

关 键 词：交易量驱动 价格序列 信息价值 交易量进程 股票价格 股价动力学分析方法 金融理论 

分 类 号：F830.91[经济管理—金融学]