Application of Nonparametric Method in the Returns Distributions in Shanghai and Shenzhen Stock Markets;
非参数方法在沪深股市收益率分布的应用
We investigate the fluctuation of price process in a stock market with Ising model and the mean field theory,and construct the corresponding random logarithmic price returns process.
再利用计算机模拟股票价格收益率的分布特征,模型很好的刻画了现实证券市场中股票收益率分布的宽尾现象、长记忆性,以及累积分布中尾部收益的指数递减现象。
According to stochastic theory,the returns of stock market should obey normal distribution.
随机理论认为股票收益率服从正态分布,但大量研究表明,股票收益率等金融时间序列具有"尖峰厚尾"反正态性。
The curve of stock market yield in China;
中国股票市场收益率分布曲线的实证
Based on the ARCH models,the yield volatility of Chinese stock market and convertible bonds market are demonstrated.
基于ARCH系列模型,对我国股票市场和可转债市场收益率的波动特征进行实证分析,得出这两个市场收益率具备一些相同的特征如高峰粗尾、波动聚集等,但是可转债市场却没有股票市场上常见的杠杆效应。
Empirical Investigation on Rate of Return and Volatility with Jump-GARCH Model in Chinese Stock Market;
中国股市收益率与波动率跳跃性特征的实证分析
this paper carries out a study on how to calculate allowed rate of return for power grid enterprise under cost plus profit regulation model according to power pricing reform scheme.
根据电价改革方案,对成本加收益管制模式下如何计算电网企业准许收益率进行了研究,并结合我国电网发展的不同阶段,提出了相应的建议。
According to the traditional portfolio theory, the stock price has no relation with its rate of return, but actually it is not the case.
传统的证券投资组合理论认为股票价格与其收益率无关,但事实并非如此。
The Research on Return Comovement and Liquidity Comovement between Stock and Bond Markets;
股票与债券市场间收益率及流动性联动关系研究
The Influence of Investor Sentiment to Stock Return;
投资者情绪对股票收益率的影响
It draws density curve of fractal distribution with the studied return series in Chinese stock market by employing fractal theory and estimating parameter of fractal distribution.
实证结果表明,分形分布能较好地拟合中国股票的收益率曲线。