基于二维跳扩散模型的股市相关性研究

经济理论与经济管理 ›› 2010, Vol. ›› Issue (7): 43-50.

基于二维跳扩散模型的股市相关性研究

汪昌云, 李楠

中国人民大学财政金融学院, 北京, 100872

收稿日期:2010-04-29 出版日期:2010-07-16 发布日期:2012-03-01
基金资助:
国家杰出青年科学基金项目(70725003)

STUDYING THE CO-MOVEMENTS OF STOCK MARKETS BASED ON A TWO-DIMENSION JUMP DIFFUSION MODEL

WANG Chang-yun, LI Nan

The School of Finance, Renmin University of China, Beijing 100872, China

Received:2010-04-29 Online:2010-07-16 Published:2012-03-01

摘要/Abstract

摘要： 本文分析了在扩散模型中引入跳部分描述资产价格异动的经济逻辑,并进一步细化跳产生的经济原因,引入具有相关性的多维泊松过程描述不同股票市场价格的异常波动次数,推广了现有的多维跳扩散模型。并应用推广后的模型,以中国A股市场和中国香港股票市场指数为样本,分析两个市场异动的相关性,同时结合新闻数据赋予统计结果以经济解释。

关键词: 资产定价理论, 跳扩散模型, 马尔科夫链蒙特卡洛模拟

Abstract: In this paper,we explore the economic role of the jump part in the jump-diffusion model,classify the causes of jump,and accordingly generalize the two-dimension jump diffusion model with the introduction of correlated Possion process to describe the jumps of different markets.And with the generalized multi-model,we conduct some co-movement analysis on H-Shares and A-Shares,as while as get economic explanation to the statistic results of news data.

Key words: asset pricing theory, jump-diffusion model, Markov Chain Monte Carlo Simulation

中图分类号:

F830.91

汪昌云, 李楠. 基于二维跳扩散模型的股市相关性研究[J]. 经济理论与经济管理, 2010, (7): 43-50.

WANG Chang-yun, LI Nan. STUDYING THE CO-MOVEMENTS OF STOCK MARKETS BASED ON A TWO-DIMENSION JUMP DIFFUSION MODEL[J]. Economic Theory and Business Management, 2010, (7): 43-50.