摘要
针对2005年6月6日—2010年5月12日的上证指数连涨连跌天数进行统计、分析和建模,发现连涨天数和连跌天数的频率直方图与几何分布趋势近似。同时,对连涨连跌天数的生存函数估计、概率密度函数估计、危险率函数估计进行了研究。研究表明当连涨连跌1~4d有一定的可能发生,当天数>4d时,再继续生存下去的概率都<0.1。且当连涨天数t为1,2,...,5时,在连涨条件下的危险率基本稳定在0.4~0.5,表明无论上涨多少天,其下跌情况也基本稳定,而在t为6时,危险率函数降为0.3,说明在连涨5d后,不会再下跌的可能性非常小。这有助于对股指涨跌的可能性作出估计,并进行相关的金融研究。
This paper conducts statistics,analysis and modeling on the data of days of successive rises and falls of Shanghai stock index from June 6,2005 to May 12,2010,and finds that the frequency histogram of the days of successive rises and falls is similar to the geometric distribution trend.Meanwhile,the survival function estimation,probability density function estimation,and risk function estimation of the days of successive rises and falls are also studied in the paper.The research shows that the happening of the number of days of successive rises and falls from 1 to 4 days is certain.When the days of successive rises and falls is greater than 4,the probability of survival is less than 0.1.Moreover,when the number of consecutive days as t is 1,2,…,and 5,the risk rate is basically stable at 0.4 to 0.5 under the condition of successive rises,indicating that no matter how many days in increasing,the fall is also basically stable.When t is 6,the risk function drops to 0.3,indicating that it is very unlikely that the index will not fall after rising for 5 consecutive days.This is helpful to estimate the possibility of the rises and falls of the stock index,and conduct relevant financial research.
作者
黄飞
孙怡川
陶明珠
HUANG Fei(School of General Education and Foreign Languages,Anhui Institute of Information Technology,Wuhu Anhui 241000,China)
出处
《长春工程学院学报（自然科学版）》
2020年第2期115-118,共4页
Journal of Changchun Institute of Technology：Natural Sciences Edition
基金
安徽省教育厅高校自然科学研究重点项目(KJ2019A1289)
安徽省重大教学研究项目(2017jyxm0947)
关键词
连涨
生存函数
概率密度函数
危险率函数
the days of successive rises and falls
survival function
probability density function
risk function
