摘要
假设股价变化遵循马尔科夫转移过程,考察具有不同心态的投资者的市场行为,给出投资者心态与股价变化之间相互作用的模型,得到了股价走势的两个基本模式,并用此模型解释股价走势中的动量效应和反转效应.
In this paper, supposed that the stock price changes are controlled by Markov chain, market behavior of investors with different sentiment are examined. A Model about mechanism of effects of investor sentiment on stock price trend is presented. Two basic modes of stock price trend are given, and then momentum effect and reversal effect in real world are explained by using the two basic modes.
出处
《数学的实践与认识》
CSCD
北大核心
2011年第21期10-16,共7页
Mathematics in Practice and Theory
基金
国家重点基础研究项目(973计划2007CB14903)
南京理工大学自主科研专题计划资助项目(2010GJPY061)
