anewapproachtomodelfinancialmarkets
文献类型：期刊论文
| 作者 | Xie Habin2; Wang Shouyang1
|
| 刊名 | journalofsystemsscienceandcomplexity
 |
| 出版日期 | 2013 |
| 卷号 | 26期号:3页码:432 |
| ISSN号 | 1009-6124 |
| 英文摘要 | This paper deals with the problem of how to take full use of prices information to model financial markets. A range decomposition technique is proposed to decompose the returns into two components. It is proved theoretically that these two components are bi-directional Granger causality, which makes it convenient to establish a vector autoregressive model (VAR). Both simulations and empirical studies are performed, and the results are consistent with the theoretical ones. The range decomposition approach presented in this paper is more efficient in information employment and suggests a new framework to model financial markets. |
| 语种 | 英语 |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/48731]  |
| 专题 | 系统科学研究所 |
| 作者单位 | 1.中国科学院数学与系统科学研究院 2.对外经济贸易大学 |
| 推荐引用方式 GB/T 7714 | Xie Habin,Wang Shouyang. anewapproachtomodelfinancialmarkets[J]. journalofsystemsscienceandcomplexity,2013,26(3):432. |
| APA | Xie Habin,&Wang Shouyang.(2013).anewapproachtomodelfinancialmarkets.journalofsystemsscienceandcomplexity,26(3),432. |
| MLA | Xie Habin,et al."anewapproachtomodelfinancialmarkets".journalofsystemsscienceandcomplexity 26.3(2013):432. |
入库方式： OAI收割
来源：数学与系统科学研究院
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