基于状态转移-混合Copula模型的量价关系分析  

The Dependence Relationship Between the Returns and Volume of Stock Based on the State transfer-Mixed Copula Model

作　　者：江松明[1,2] 王沁 刘洋[1] 

机构地区：[1]西南交通大学数学学院,四川成都610031 [2]成都协信置业有限公司,四川成都610056

出　　处：《西华大学学报（自然科学版）》2015年第5期63-69,共7页Journal of Xihua University:Natural Science Edition

基　　金：国家自然科学基金项目(71271227)

摘　　要：利用混合Copula的权重与参数在不同状态之间的转移,构建一种基于状态转换的混合Copula模型,对相依变量之间上尾下尾的非对称结构的转换进行描述。利用该模型对上证指数和房地产板块指数进行实证研究,结果发现:整体上量价之间呈现出上尾高下尾低的非对称结构,当股市由低波动状态转向高波动状态后,量价之间的尾部结构相关程度显著增强,且下尾结构所占比例也明显增加,这种相依关系对于了解股市的信息传导机制与微观结构有重要意义。A State transfer- mixed Copula model is constructed. It has been using mixed copulas' weight coefficient and the parameters of the transfer between different states to describe the dependent variables between the up- tail and down- tail of the asymmetric structure under transformation. In this paper,it was used in empirical research of Shanghai composite index and real estate sectors index. The research result shows that the overall trend is asymmetric. up- tail is high while down- trail is low. After the stock market runs from the low volatility states to high volatility states,it significantly has enhanced the tail structure related degree between volume and price,and the proportion of tail structure also increased.

关 键 词：状态转移 混合Copula模型 极大似然估计 量价关系 

分 类 号：F224[经济管理—国民经济] F830