我國權(quán)證與標的資產(chǎn)分形結(jié)構(gòu)及價格行為研究.pdf

1、南昌大學(xué)碩士學(xué)位論文我國權(quán)證與標的資產(chǎn)分形結(jié)構(gòu)及價格行為研究姓名：高建平申請學(xué)位級別：碩士專業(yè)：概率論與數(shù)理統(tǒng)計指導(dǎo)教師：何宜慶20100528AbstractAbstractWarrantsarefinancialderivativeinstrumentsBecausetheyownleverageeffect，meyareappliedmoreandmoreinvestorsasaninvestment，hedging，invest

2、mentandarbitraget001Aschinasocialistmarketeconomysystemandcontinuousimprovement，01117warrantsmarkethasmadeconsiderableprogressNow，WarrantsmarkethasbecomethetransformationofenterprisesandtheimportantplacefinancingWarrants

3、markethasplayedanimportantroleinstimulatingeconomicgrowthandthemotivationsystemInthisdissertation，theactorstudiesreRkrndistributionfunction，longtermdependence，cyclicaltrendandvolatilityclusteringofwarrantsandunderlyingst

4、ocksadoptingfractaltheory，thetheoryoftimeseriesandautoregressiveconditionalheteroscedasticitymodelbyMatlab，EviewsandStable111eresultsshowthat：thelogreturnseriesofchinawarrantsandunderlyingstocksrejecthypothesistestingoft

5、henormaldistribution，anddistributionfunctionsthathaveobviouspeakandfattailsarestableParetodistributionsWarrantsandunderlyingstockshavelongtermdependenceandvolatilityclusteringsomeunderlyingstockshavecyclicaltrendLongterm