| 运用生存分析与变点理论对深证成指的研究 |
| |
| 引用本文： | 雷鸣,谭常春. 运用生存分析与变点理论对深证成指的研究[J]. 产业经济研究, 2008, 0(6): 69-74 |
| |
| 作者姓名： | 雷鸣 谭常春 |
| |
| 作者单位： | 1. 南京财经大学,金融学院,江苏,南京,210003
2. 中国科学技术大学,火灾科学国家重点实验室,安徽,合肥,230026 |
| |
| 摘 要： | 本文运用生存分析与变点理论对深证成指进行了研究，发现连涨和连跌的股指收益率服从伽玛分布，当股市发生变化时，伽玛分布的参数也会发生变化，而且伽玛分布的两个参数很好地反映了牛市、熊市的趋势变化以及股市波动的变化。我们运用变点理论对这一变化进行了实证分析，得出了一些有意义的结论。
|
| 关 键 词： | 生存分析 伽玛分布 变点理论 |
Study of Shenzhen Stock Index with Survival Analysis and Change Point Theory |
| |
| LEI Ming,TAN Changchun. Study of Shenzhen Stock Index with Survival Analysis and Change Point Theory[J]. Industrial Economics Research, 2008, 0(6): 69-74 |
| |
| Authors: | LEI Ming TAN Changchun |
| |
| Affiliation: | LEI Ming1,TAN Changchun2(1.Nanjing University of Finance , Economics,Nanjing 210003,China,2.State Key Laboratory of Fire Science of USTC,Hefei 230026,China) |
| |
| Abstract: | In this paper,the successive rises and falls of Shenzhen stock index returns are analyzed by survival analysis and change point theory.The distributions of the successive rises and falls of returns are fitted with Gamma distribution.The parameters change when the stock market change,and the two parameters properly reflect the changes of bull and bear market,also the fluctuations of the market.With the change point theory,we analyzed the change of the stock market,and draw some meaningful conclusions. |
| |
| Keywords: | survival analysis Gamma distribution change point theory |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
|
