| 引用本文: | 金治明.异常市场的判别.[J].国防科技大学学报,2003,25(1):107-110.[点击复制] |
| JIN Zhiming.The Testing for Singular Market[J].Journal of National University of Defense Technology,2003,25(1):107-110[点击复制] |
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| 异常市场的判别 |
| 金治明 |
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(国防科技大学 理学院，湖南 长沙 410073)
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| 摘要: |
| 给出了股票价格的Black-Scholes模型中股票期望收益率μ及波动率σ2的估计，并证明了这种估计的良好性质。给出异常市场判别准则，提第一、第二警戒值的计算公式。 |
| 关键词: 股票 期望收益率 波动率 估计 |
| DOI： |
| 投稿日期：2002-07-10 |
| 基金项目: |
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| The Testing for Singular Market |
| JIN Zhiming |
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(College of Science, National Univ. of Defense Technology,Changsha 410073,China)
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| Abstract: |
| The expected return rate μ and volatility σ2of stock are estimated.Some opimal properties of the estimaters are proved.The method for testing singular market is given.The first and second critical value are proposedsented. |
| Keywords: stock expected rate volatility estimate |
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