分布意义下的股票价格动量及实证检验
发布时间：2018-10-05 17:39
【摘要】：本文提出分布意义下的股票价格动量并研究其在证券投资中的应用.首先假设每支股票为一个多粒子系统,引入股票交易筹码分布,在实证检验中利用正态分布对其进行估计;其次,本文给出一个迭代算法用来估计股票的成本分布;最后,基于成本分布,定义新股票价格动量,并利用反转策略对其进行实证分析,结果表明:新动量在很多方面优于其它动量.另外,根据成本分布还可以定义股票的熵.由新动量和熵双指标构建的投资组合,其风险-收益优于单指标.
[Abstract]:In this paper, stock price momentum in the sense of distribution is proposed and its application in securities investment is studied. Firstly, assuming that each stock is a multi-particle system, the distribution of stock bargaining chips is introduced, and then the normal distribution is estimated in the empirical test. Secondly, an iterative algorithm is presented to estimate the cost distribution of the stock; finally, an iterative algorithm is proposed to estimate the cost distribution of the stock. Based on the cost distribution, the new stock price momentum is defined, and the empirical analysis is made by using the inversion strategy. The results show that the new momentum is superior to other momentum in many aspects. In addition, the entropy of stock can be defined according to the cost distribution. The combination of new momentum and entropy is better than the single index.
【学位授予单位】：郑州大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51
本文编号：2254263
[Abstract]:In this paper, stock price momentum in the sense of distribution is proposed and its application in securities investment is studied. Firstly, assuming that each stock is a multi-particle system, the distribution of stock bargaining chips is introduced, and then the normal distribution is estimated in the empirical test. Secondly, an iterative algorithm is presented to estimate the cost distribution of the stock; finally, an iterative algorithm is proposed to estimate the cost distribution of the stock. Based on the cost distribution, the new stock price momentum is defined, and the empirical analysis is made by using the inversion strategy. The results show that the new momentum is superior to other momentum in many aspects. In addition, the entropy of stock can be defined according to the cost distribution. The combination of new momentum and entropy is better than the single index.
【学位授予单位】：郑州大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51
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