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蒙特卡罗方法计算股价转移概率密度的应用
吴振翔1; 缪柏其2; 肖敬红2
2005
Source Publication中国科学技术大学学报
ISSN0253-2778
Volume035Issue:001Pages:46
Abstract在扩散方程对股价运行描述的基础上,用蒙特卡罗方法得出未来某一时刻股价转移概率密度的数值解.运用这一结果,给出了一定概率意义下未来股价的置信区间,作出了对实际投资者有一定参考价值的风险分析.在对我国股市中上证指数的转移概率密度进行实证分析中,显示了该方法对未来股价走势的判断是正确的.
Language英语
Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/40895
Collection中国科学院数学与系统科学研究院
Affiliation1.中国科学院数学与系统科学研究院
2.中国科学技术大学
Recommended Citation
GB/T 7714
吴振翔,缪柏其,肖敬红. 蒙特卡罗方法计算股价转移概率密度的应用[J]. 中国科学技术大学学报,2005,035(001):46.
APA 吴振翔,缪柏其,&肖敬红.(2005).蒙特卡罗方法计算股价转移概率密度的应用.中国科学技术大学学报,035(001),46.
MLA 吴振翔,et al."蒙特卡罗方法计算股价转移概率密度的应用".中国科学技术大学学报 035.001(2005):46.
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