摘要
在假设股票价格所处状态间的转移概率连续变化情况下,得到了股票价格转移概率的常微分方程组;考虑股票在不同状态之间转移所获得报酬及股票在状态发生转移之前单位时间所获得的报酬的情况下,给出了股票在不同状态之间发生转移的总期望报酬模型·通过对总期望报酬模型进行变换得到了策略改进算法·同时得到了转移系数矩阵一般表达式,给出了针对具体股票状态转移时间间隔的指数分布并对其进行了估计·
On the assumption that the transferprobability of stock prices changes continuously, differential equation groups are obtained correspondingly. Then, taking account of the return on changed stock prices in different states and the stocks return gained in unit time period before state changing, a gross expectation model of return on stock prices which changed in different states is derived. Further, an algorithm is got for strategy betterment through a transformation of the model. Meanwhile, a general expression of transfercoefficient matrix is derived with exponential distribution of time intervals given and estimated for specific stock price the changing.
出处
《东北大学学报（自然科学版）》
EI
CAS
CSCD
北大核心
2003年第11期1100-1103,共4页
Journal of Northeastern University(Natural Science)
基金
国家高技术研究发展计划项目(863 9803 05).
关键词
证券投资策略
连续时间马尔可夫过程
转移系数矩阵
报酬
决策
strategy of securities investment
the continuous Markov process
transfer-coefficient matrix
return
decision
