定 價(jià):68 元
叢書名:經(jīng)濟(jì)學(xué)博士文庫(kù)(開放叢書)
- 作者:詹鑰凇
- 出版時(shí)間:2024/5/21
- ISBN:9787513092760
- 出 版 社:知識(shí)產(chǎn)權(quán)出版社
- 中圖法分類:F830.59
- 頁碼:152
- 紙張:
- 版次:1
- 開本:16開
隨機(jī)無序模型是阿爾伯特·N.謝里亞夫(AlbertNShiryaev)提出的一個(gè)序貫檢測(cè)方法,被運(yùn)用于軍工、氣象、水利等工業(yè)制造領(lǐng)域。而在金融市場(chǎng)上,股票狀態(tài)瞬息萬變,十分考驗(yàn)投資者的專業(yè)判斷能力。因此,本書嘗試將隨機(jī)無序模型引入投資決策當(dāng)中,從數(shù)學(xué)統(tǒng)計(jì)的角度分析最優(yōu)投資決策的方法,并通過三個(gè)實(shí)例分析,來闡述該模型的優(yōu)越之處。
詹鑰凇,現(xiàn)任中山大學(xué)商學(xué)院助理教授,碩士生導(dǎo)師,中國(guó)人民大學(xué)金融學(xué)博士。研究領(lǐng)域包括市場(chǎng)微觀結(jié)構(gòu)、金融計(jì)量、量化投資等。論文發(fā)表于Journal of Business & Economic Statistics, Journal of Economic Dynamics and Control等國(guó)際知名學(xué)術(shù)期刊
第1章緒論···········································································001
1.1研究背景·········································································001
1.2研究動(dòng)機(jī)·········································································003
1.3研究?jī)?nèi)容與創(chuàng)新之處··························································004
1.4研究方法·········································································007
第2章文獻(xiàn)綜述·····································································008
2.1隨機(jī)無序模型的文獻(xiàn)綜述····················································008
2.2股票動(dòng)量效應(yīng)和趨勢(shì)交易的文獻(xiàn)綜述·····································010
2.3市場(chǎng)極端風(fēng)險(xiǎn)的文獻(xiàn)綜述····················································014
2.4股價(jià)與企業(yè)投融資決策的文獻(xiàn)綜述········································016
第3章隨機(jī)無序模型·······························································019
3.1隨機(jī)無序問題的概率模型····················································019
3.2隨機(jī)無序模型的求解··························································022
3.3附錄···············································································031
第4章高頻數(shù)據(jù)下的股價(jià)趨勢(shì)分析及投資策略······························034
4.1引言···············································································034
4.2模型設(shè)定及求解································································036
4.3數(shù)值分析·········································································041
4.4實(shí)證研究·········································································046
4.5基于隨機(jī)無序模型的趨勢(shì)跟蹤策略········································059
4.6小結(jié)···············································································063
4.7附錄···············································································064
第5章股票市場(chǎng)極端風(fēng)險(xiǎn)管理研究············································068
5.1引言···············································································068
5.2極值理論·········································································069
5.3模型設(shè)定及求解·······························································076
5.4數(shù)值分析·········································································084
5.5實(shí)證研究·········································································087
5.6小結(jié)···············································································097
5.7附錄···············································································098
第6章股價(jià)變動(dòng)與公司投資決策···············································101
6.1引言···············································································101
6.2模型設(shè)定及求解·······························································103
6.3數(shù)值分析·········································································108
6.4實(shí)證研究··········································································117
6.5結(jié)論···············································································122
6.6附錄···············································································123
第7章結(jié)論與展望·································································130
7.1研究結(jié)論·········································································130
7.2啟示與展望······································································131
參考文獻(xiàn)················································································133