华东师范大学学报(自然科学版) ›› 2008, Vol. 2008 ›› Issue (1): 44-50,1.

• 数学 统计学 • 上一篇    下一篇

关于SARV模型技术分析指标相应统计量的性质(英)

黄旭东1,2, 张琼1,2, 刘伟1   

  1. 1. 华东师范大学 统计系, 上海, 200062;2. 安徽师范大学 数学计算机科学学院, 安徽芜湖, 241000;
  • 收稿日期:2007-03-05 修回日期:2007-04-16 出版日期:2008-01-25 发布日期:2008-01-25
  • 通讯作者: 黄旭东

Properties of the Corresponding Statistics of the Technical Analysis Indexes on SARV Model(English)

HUANG Xu-dong1,2, ZHANG Qiong2, LIU Wei1   

  1. 1. Department of Statistics, East China Normal University, Shanghai 200062, China; 2. College of Mathematics and Computer Science, Anhui Normal University, Wuhu Anhui 241000, China;
  • Received:2007-03-05 Revised:2007-04-16 Online:2008-01-25 Published:2008-01-25
  • Contact: HUANG Xu-dong

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摘要：

在证券市场，一些流行的技术分析指标(如布林带, RSI,ROC等)被广泛的运用.众所周知在经验金融文化中离散时间的模型被典型的应用.本文主要研究了随机自回归波动率模型作为真实的股票市场的技术分析指标布林带、RSI和ROC相应统计量的性质, 并且证明了这些统计量在给定条件下的平稳性和大数定律成立.

关键词: 随机自回归波动率模型, 布林带, 平稳过程, 强混合, 随机自回归波动率模型, 布林带, 平稳过程, 强混合

Abstract: In the stock market, Some popular technical analysis indexes ( e.g.
Bollinger bands, RSI, ROC $\cdots$ ) are widely used by traders. It
is well known that discrete-time model was typically used in empirical financial literature. This paper investigates the probabilistic properties of the corresponding statistics of the technical analysis indexes Bollinger bands, RSI and ROC for stochastic autoregressive volatility (SARV) model as real stock market. Under the given onditions, the stationarity and the law of large number of these statistics are proved .

Key words: Bollinger bands, stationary process, Strong mixing, SARV model, Bollinger bands, stationary process, Strong mixing

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