Semi-Parametric Estimation Methods on Long-Memory Processes with Added Noise 附加噪声长记忆过程的半参数估计方法研究
Research on the Leverage Effect and Dual Long-memory of Official and Black Exchange Rate in China 中国官方汇率与黑市汇率的杆杠效应和双长记忆性研究
In this paper, we provided the concept of long-memory. A diagnostic checking of long memory joined ADF test is given. 本文介绍了长记忆的概念,首次提出了一种与ADF检验相结合的长记忆性判断方法。
An Application Research of Discrete Wavelets in Seasonal Long-Memory Processes 离散小波在季节性长记忆过程上的应用研究
This paper has researched the subdivision market. The Hurst exponent of B share index is significant which means B shares market is long-memory dynamics, so we can reject the efficient market hypothesis on B share market. 同时对细分市场进行了研究,结果表明B股市场的Hurst指数具有显著性,表现出长期记忆性,因此我们可以拒绝B股市场的市场有效性假设。
However, non-normality stable Paretian distribution and long-memory can constitute the best possible approximation of the price behavior. 非正态稳定帕雷托分布与长期相关性能够很好地描述实际资本市场的非线性动态价格行为。
Second, we estimate and calculate the value of the nonlinear characteristic index in Chinese security market and analyze the market's long-memory effect and information-accumulate effect. 然后,估算中国证券市场的非线性特征指标值,分析其长期记忆效应、信息累积效应。
In capital market, time series follow a biased random process, and exhibit fractal characteristic and long-memory effect. 实际的金融时间序列服从一个有偏的随机游走过程,具有显著的分形特征与长期记忆效应。
The long-memory effect in stock market is a hotspot for financial economists. 股票市场长期记忆效应问题一直是金融经济学家们倍感兴趣的一个研究热点。
The Intraday Periodicity and Long-memory Characters in High-frequency Data of China Stock Market data块的DES加密过程.中国股市高频数据中的周期性和长记忆性
Analysis for the characteristic of long-memory in stock market returns has important sense in research of market effectiveness and framework determination of nonlinear system. 股票市场收益的长期记忆特征对于系统非线性结构的确定以及市场有效性的研究具有重要的意义。
Firstly, the characteristics of VBR video traffic and the status of researching on traffic prediction are introduced. Three kinds of prediction models which are short-memory models, long-memory models and neural network models, are discussed. 本文首先介绍了可变比特率视频流量的特点,国内外流量预测的研究现状,对三种主要模型即短记忆模型、长记忆模型和神经网络模型进行了性能比较。
This paper generalize long-memory concept, modeling, checking and evaluation on the basis of documents both here and abroad. 本文在大量阅读国内外文献的基础上,总结了长记忆性的概念、建模、估计和检验以及在长记忆基础上的长期均衡关系的估计、检验和性质。
In experiment1a 1b, the mode of information integration in long-memory was investigated, and in experiment2a 2b, that in work memory was investigated. 实验1主要探讨阅读过程中背景信息的激活与协调性整合的性质与特点,实验2主要探讨阅读过程工作记忆中前后信息的协调性整合问题。
Then intraday periodical and long-memory characters of Shanghai stock exchange market are worked out by frequency analysis method. 利用频域分析工具实证得出上海股票市场波动性的日内周期特征和长记忆特征。
Application of Adaptive Forecast for Long-memory Time Series 长记忆时间序列适应性预测的应用
But lots of phenomena on the capital market can't explain with the EMH, such as high peak and fat tail in security returns, the sudden collapse in stock market and long-memory in stock series. 但很多资本市场上的现象无法用EMH解释,如证券收益的尖峰厚尾,证券市场的突然崩溃,股价序列的长期记忆性等。
The variation of the price of futures in stock index futures market is affected by many factors such as financial, economic, political, and social ones as well as investors 'psychology. Its change process is nonlinear, chaotic and long-memory. 市场上期货合约价格的变动受金融、经济、政治、社会以及投资者心理等众多因素的影响,其变化过程具有非线性、混沌性、长期记忆性等特点。
Secondly, we discover short-memory and long-memory effect exist in the recurrence interval series based on conditional probability distribution and detrended fluctuation analysis, which are derived from original return series. 其次,基于条件概率分布和降趋脉动分析(DFA)方法,得出两个市场的重现间隔序列具有较强的短期记忆性和长期记忆性,这种特性源于原始收益率本身。
Research suggests that, however, the long-term equilibrium is long-memory, and the adjustment is asymmetric. 然而,研究表明,这种长期均衡关系可能具有长记忆性,其调整过程也可能是非对称性的。