| 新股网上申购投资的随机模拟分析 |
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| 引用本文： | 张强劲,陈芬菲.新股网上申购投资的随机模拟分析[J].数学的实践与认识,2011,41(8). |
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| 作者姓名： | 张强劲 陈芬菲 |
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| 作者单位： | 1. 中共宜良县委统战部,云南昆明,652100
2. 北京交通大学中国产业安全研究中心,北京,100044 |
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| 摘 要： | 为研究现行制度下新股网上申购投资收益,通过对全流通前后IPOs数据的统计分析,选取2006年6月～2007年12月数据段为研究对象.研究银行间市场回购融资、交易所市场回购融资、现金三种不同资金来源用于新股网上申购的情形,分析不同资金规模的收益回报情况.研究中用分层抽样技术,对新股上市首日售出价和申购日市场回购利率构造三角概率分布,进行随机模拟,得出单个投资者比较合理的新股申购资金规模及收益.结果对于合理设计以新股申购为主要投资对象的理财产品、设定新股申购资金规模、以及对新股申购成本与收益回报的定位等都有重要参考意义.
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| 关 键 词： | 新股申购 投资规模 随机模拟 分层抽样 |
Analyzing Investment of Network IPOs Based on Stochastic Simulation Method |
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| ZHANG Qiang-jin,CHEN Fen-fei.Analyzing Investment of Network IPOs Based on Stochastic Simulation Method[J].Mathematics in Practice and Theory,2011,41(8). |
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| Authors: | ZHANG Qiang-jin CHEN Fen-fei |
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| Institution: | ZHANG Qiang-jin~1,CHEN Fen-fei~2 (1.The United Front Work Department of CPC Yiliang,Kunming 652100,China) (2.China Center for Industrial Security Reaserch,Beijing Jiaotong University,Beijing 100044,China) |
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| Abstract: | This paper describes a stochastic simulation method by which we analyze investment scale of IPOs.Based on statistical analysis,we select IPOs data(2006.6-2007.12) which depict behavior of IPOs after reforming about circulating market.We research returns of investing IPOs about three circumstances basing on different sources of financing,cash,Repo from exchange and bank market.We assume that IPOs' first day pricing and Repo rate are both subordinated to triangle probability distribution.Stratified sampling t... |
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| Keywords: | IPOs investment scale stochastic simulation stratified sampling |
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