| 股市收益率的极限分布 |
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| 引用本文： | 邱文佳,韩东.股市收益率的极限分布[J].应用概率统计,2005,21(2):130-140. |
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| 作者姓名： | 邱文佳 韩东 |
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| 作者单位： | 上海交通大学数学系,上海,200030 |
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| 摘 要： | 本文提出了一个描述股市收益率与成交量变化率的关系的非线性统计模型.通过这个模型我们证明了收益率序列{rn}依参数不同分别依分布收敛于指数列维稳定分布和列维稳定分布.
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| 关 键 词： | 成交量与收益率 厚尾性 稳定律 极限分布 |
| 修稿时间： | 2003年8月4日 |
The Limit Distributions of Return in Stock Market |
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| QIU WENJIA HAN DONG.The Limit Distributions of Return in Stock Market[J].Chinese Journal of Applied Probability and Statisties,2005,21(2):130-140. |
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| Authors: | QIU WENJIA HAN DONG |
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| Abstract: | A nonlinear statistical model which describes a relationship between the return and the relative rate of trading volume in stock market is presented in this paper. By this model we prove that a sequence of the return {rn} can converge in distribution to an exponentially Levy stable distribution or a usual Levy stable distribution, depending on different regions of some parameters. |
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| Keywords: | Trading volume and return flat tail stable law limit distribution |
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