随机波动率模型下技术分析指标的一些性质(英文)

一些流行的技术指标(例如布林带,RSI,ROC等)被股市交易者广为使用.交易者将每日(小时,周,……)的实际股价作为计算某个技术指标的样本,通过观察相关频率来指导投资.技术指标的有效性已在广泛的应用中得到了验证.我们已经证明在Black-Scholes模型下,某些技术指标有许多有用的统计性质.作为更一般的情况,随机波动率模型在金融数学中得到了广泛的讨论.本文基于随机波动率模型对技术指标的统计性质进行了研究.研究结果表明,如果股票价格服从随机波动率模型,则技术指标的合理性可以得到有力的证明,从这个角度我们为技术分析奠定理论基础.

Some Properties of Technical Analysis Indicators Based on Stochastic Volatility Model

Some popular technical analysis indicators(e.g.Bollinger Bands,RSI,ROC,…)are samples of certain statistics and use the observed relative frequencies to show the validity of those well-known indicators.We have made some statistic analysis on these technical indicators based on Black-Scholes model and get some interesting properties.As a more popular model,stochatic volatility model has been widely discussed in financial mathematics which describes an environment of uncertain and changing volatility.In this paper,we do some research on stochastic volatility model.We find if we recognize the validity of stochastic volatility model,we can find a convicing evidence for the rationality of technical indicators,which builds the theoretical basis of technical analysis in a way.