摘要
介绍了国外近几年提出的、建立在分形市场假说的基本思想基础之上的、刻画金融资产价格收益分布规律的CED模型,并将该模型应用于上海证券市场综合指数,来描述上海股市的收益分布特征.
In this paper,the Conditionally Exp onential Dependence(CED)model brought forward recently base d on the basic ideas of Fractal Market H ypothesis(FMH),where investors of different investment horizons value information differently,is introd uced and applied to Shanghai Composite Index to describe the distributio n char-acters of asset returns in Shanghai s tock market.
出处
《沈阳工业大学学报》
EI
CAS
2001年第5期443-446,共4页
Journal of Shenyang University of Technology
