Study of Shenzhen Stock Index with Survival Analysis and Change Point Theory

摘要：

In this paper, the successive rises and falls of Shenzhen stock index returns are analyzed by survival analysis and change point theory. The distributions of the successive rises and falls of returns are fitted with Gamma distribution. The parameters change when the stock market change, and the two parameters properly reflect the changes of bull and bear market, also the fluctuations of the market. With the change point theory, we analyzed the change of the stock market, and draw some meaningful conclusions.

关键词： Survival Analysis Gamma Distribution Change Point Theory

作者: 雷鸣 谭常春 缪柏其

作者单位: 南京财经大学金融学院,南京,210003 中国科学技术大学统计与金融系,合肥,230026

会议类型: 国际会议

会议名称: 2007年中国国际金融年会

会议地点: 成都

会议语种:英文

在线出版日期: 2007-07-09（万方平台首次上网日期，不代表论文的发表时间）