分布意义下的股票价格动量及实证检验.pdfVIP

Advances in Applied Mathematics 应用数学进展, 2017, 6(4), 426-434 Published Online July 2017 in Hans. /journal/aam /10.12677/aam.2017.64050 The Price Momentum of Stock in Distribution and Its Empirical Tests Longfei Wang, Haijun Liu School of Mathematics and Statistics, Zhengzhou University, Zhengzhou Henan th rd th Received: Jun. 15 , 2017; accepted: Jul. 3 , 2017; published: Jul. 6 , 2017 Abstract In this paper, a new price momentum of stock in distribution is proposed and applied in real in- vestment. Firstly, it is assumed that a stock behaves as a multi-particle system, the stock share- exchange distribution of stock price is introduced and estimated by the normal distribution in empirical tests. Secondly, an iterative method is given to get cost distribution of stock price. Thirdly, based on cost distribution, a new price momentum of stock is delivered. An empirical test is given to compare the new momentum with others by contrarian strategy. The result shows the new one outperforms others in many places. Keywords Stock Share-Exchange Distribution, Cost Distribution, Price Momentum, Momentum/Contrarian Strategy 分布意义下的股票价格动量及实证检验 王龙飞，刘海军 郑州大学数学与统计学院，河南 郑州 收稿日期：2017年6月15 日；录用日期：2017年7月3 日；发布日期：2017年7月6 日 摘 要 本文提出分布意义下的股票价格动量并研究其在证券投资中的应用。首先假设每支股票为一个多粒子系 统，引入股票交易筹码分布，在实证检验中利用正态分布对其进行估计；其次，本文给出一个迭代算法 用来估计股票的成本分布；最后，基于成本分布定义新股票价格动量，并利用动量/反转策略对其进行实 文章引用: 王龙飞, 刘海军. 分布意义下的股票价格动量及实证检验[J]. 应用数学进展, 2017, 6(4): 426-434. /10.12677/aam.2017.64050 王龙飞，刘海军 证分析，结果表明：新动量在很多方面优于其它动量。 关键词 股票交易筹码分布，成本分布，价格动量，动量/反转策略 Copyright © 2017 by authors and Hans Publishers Inc. This wo