资产价格序列分析中的随机扰动探究  

Research on Random Disturbance in the Analysis of Asset Price Series

作　　者：陈金林[1] 张学谦[2] CHEN Jin-lin;ZHANG Xue-qian(South China Business College,Guangdong University of Foreign Studies,Guangzhou 510545,China;University of International Business and Economics,Beijing 100029,China)

机构地区：[1]广东外语外贸大学南国商学院,广州510545 [2]对外经济贸易大学,北京100029

出　　处：《价值工程》2019年第36期269-271,共3页Value Engineering

基　　金：广州市“十三五”规划基金项目（2018GZGJ161）;广东外语外贸大学南国商学院2017年校级重点课题（17-009A）阶段性成果

摘　　要：随机扰动在资产价格序列分析中具有特别重要的作用,区分其表现形式和性质不管在理论上还是在实践中都具有较大的意义。本文通过分析稳定的和非稳定的价格序列中随机扰动的作用,发现其在不同状态中的形式和性质各有特点。特别是,随机扰动在随机趋势价格序列中具有的表现,使得随机趋势与确定性趋势在图形上很形似,但是统计性质非常不同。随机扰动的作用在一定程度上影响了我们对随机趋势和确定性趋势的有效区别。Random perturbations play a particularly important role in the analysis of asset price sequences.It is of great significance to distinguish their manifestations and properties,both in theory and in practice.This paper analyzes the effects of random perturbations in stable and unstable price series and finds that their forms and properties have different characteristics in different states.In particular,the performance of random perturbations in a series of stochastic trend prices makes the stochastic trend and the deterministic trend very similar in graphics,but the statistical properties are very different.The effect of random perturbations has affected our effective distinction between random and deterministic trends to a certain extent.

关 键 词：随机扰动 确定趋势 随机趋势 短暂冲击 持久影响 

分 类 号：F01[经济管理—政治经济学]