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引入符号时间序列分析方法,以收益符号序列修正Shannon熵作为市场有效性的度量,以时变修正Shannon熵描述市场有效性随时间的变化,采用Logit模型分析价格异常波动或暴跌发生的概率与市场有效性之间的关系。将提出的方法应用于沪深两个股票市场的异常波动及暴跌与市场有效性关系的分析中,结果表明市场有效性越弱,发生异常波动或暴跌的概率越大,市场有效性对异常波动的影响比对价格暴跌的影响更显著,深圳市场有效性对异常波动或价格暴跌的影响比上海市场更显著。理论与实证分析都表明所提出的方法是可行的、有效的。
The method of symbolic time series analysis is introduced to correct Shannon entropy as a measure of market effectiveness with the sequence of revenue symbols and to describe the change of market effectiveness over time with time-varying modified Shannon entropy. The Logit model is used to analyze the probability of anomalous price fluctuations or slump, The relationship between effectiveness. The proposed method is applied to the analysis of the relationship between the abnormal volatility and the slump in Shanghai and Shenzhen stock markets and the market effectiveness. The results show that the weakest market efficiency, the greater the probability of abnormal fluctuations or slump, and the greater market volatility Of the impact than the impact of the price plunge even more significant, the effectiveness of the Shenzhen market abnormal fluctuations or price plunges more significant impact than the Shanghai market. Both theoretical and empirical analysis show that the proposed method is feasible and effective.