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
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ISBN | 1424408180; 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 |
DOI | 10.1109/ICCA.2007.4376835 |
URL | 查看来源 |
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 | |
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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