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题名Modeling of stock markets with mean reversion
作者
发表日期2007
会议名称2007 IEEE International Conference on Control and Automation, ICCA
会议录名称2007 IEEE International Conference on Control and Automation
ISBN1424408180; 9781424408184
页码2615-2618
会议日期30 May 2007 through 1 June 2007
会议地点Guangzhou, China
摘要

In this article we present a method for modeling and estimating the stock market with a mean reverting characteristic. Mean reversion is the tendency for the market to move back to an equilibrium level. The random walk description of stock markets has certain inaccuracies as such a process may diverge over time, resulting in negative or infinite values. There is no longer an acceptable model which can be effectively used to simulate the stock market. However, the mean reverting property exhibited by financial markets has been recognized by theorists. We analyze two methods of estimating the parameters of the model, Least Square Estimation and Maximum Likelihood Estimation. Using monthly data of the Dow Jones Industrial Average and the Singapore Straits Times Index, we compare the performance of these two methods. © 2007 IEEE.

关键词Mean reversion
DOI10.1109/ICCA.2007.4376835
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收录类别CPCI-S
语种英语English
WOS研究方向Automation & Control Systems ; Engineering
WOS类目Automation & Control Systems ; Engineering, Electrical & Electronic
WOS记录号WOS:000257195300146
引用统计
被引频次[WOS]:0   [WOS记录]     [WOS相关记录]
文献类型会议论文
条目标识符https://repository.uic.edu.cn/handle/39GCC9TT/4364
专题个人在本单位外知识产出
作者单位
Department of Electrical and Computer Engineering, National University of Singapore, Singapore, Singapore
推荐引用方式
GB/T 7714
Eng, Minghao,Wang, Qingguo. Modeling of stock markets with mean reversion[C], 2007: 2615-2618.
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