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氏调制的几何布朗运动与布林带
引用本文:黄旭东,刘伟.氏调制的几何布朗运动与布林带[J].应用概率统计,2007,23(4):428-433.
作者姓名:黄旭东  刘伟
作者单位:1. 华东师范大学统计系,上海,200062;安徽师范大学数学计算机科学学院,芜湖,241000
2. 华东师范大学统计系,上海,200062
基金项目:国家自然科学基金;上海市"曙光计划";上海市教委资助项目;高等学校博士学科点专项科研项目;安徽省高校青年教师科研项目
摘    要:在证券市场, 布林带作为流行的技术分析工具被广泛的运用\bd 到目前为止有许多模型被建立用来预测证券的价格, 因此研究这些模型是否具有布林带性质是一个重要的问题\bd Liu, Huang and Zheng (2006)和Liu and Zheng (2006)分别讨论了Black-Scholes模型和随机波动率模型作为真实的股票市场的布林带, 并且证明了相应的统计量的平稳性和大数定律成立\bd 本文我们将上述结果推广到马氏调制的几何布朗运动模型.

关 键 词:马氏调制的几何布朗运动  布林带  平稳过程.
收稿时间:2006-04-27
修稿时间:2006-11-16

Markov-Modulated Geometric Brownian Motion and Bollinger Bands
HUANG XUDONG,LIU WEI.Markov-Modulated Geometric Brownian Motion and Bollinger Bands[J].Chinese Journal of Applied Probability and Statisties,2007,23(4):428-433.
Authors:HUANG XUDONG  LIU WEI
Institution:Department of Statistics, East China Normal University, College of Mathematics and Computer Science, Anhui Normal University
Abstract:In the stock market,Bollinger bands as a popular technical analysis tool are widely used by traders.There are a lot of models built to forecast the stock price,so it is a significant issue to investigate whether these models have Bollinger band property. Liu, Huang and Zheng (2006)and Liu and Zheng(2006)discussed the Bollinger bands for Black-Scholes model and stochastic volatility model as real stock markets,respectively.The stationarity and the law of large number of the corresponding statistics were proved.In this paper,we extend the above results to the general model of Markov-modulated geometric Brownian motion.
Keywords:Markov-modulated geometric Brownian motion  Bollinger band  stationary process  
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