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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 周雨田(Ray Yeutien Chou) | |
| dc.contributor.author | Yen-Lin Chiu | en |
| dc.contributor.author | 邱延霖 | zh_TW |
| dc.date.accessioned | 2021-06-16T08:31:10Z | - |
| dc.date.available | 2014-01-17 | |
| dc.date.copyright | 2014-01-17 | |
| dc.date.issued | 2013 | |
| dc.date.submitted | 2013-12-25 | |
| dc.identifier.citation | ANE, T., and H. GEMAN (2000): 'Order Flow, Transaction Clock, and Normality of Asset Returns,' The Journal of Finance, 55, 2259-2284.
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WAH (2011): 'Power Comparisons of Shapiro-Wilk, Kolmogorov-Smirnov, Lilliefors and Anderson-Darling Tests,' Journal of Statistical Modeling and Analytics, 2, 21-33. SAMUELSO.PA (1973): 'Mathematics of Speculative Price,' Siam Review, 15, 1-42. SHAPIRO, S. S., and M. B. WILK (1965): 'An Analysis of Variance Test for Normality (Complete Samples),' Biometrika, 52, 591-&. TAUCHEN, G. E., and M. PITTS (1983): 'The Price Variability-Volume Relationship on Speculative Markets,' Econometrica, 51, 485-505. UPTON, D. E., and D. S. SHANNON (1979): 'The Stable Paretian Distribution, Subordinated Stochastic Processes, and Asymptotic Lognormality: An Empirical Investigation,' The Journal of Finance, 34, 1031-1039. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/58790 | - |
| dc.description.abstract | 本文立基於Clark, P. K. (1973)的經典股價波動模型，提出交易量(Q)即為運行時間(operational time)的設定。由此，可得知報酬(r)其實即為由交易量為步數所驅動的隨機走步(random walk)。此模型不但可以由直覺的兩個假設推導而出，更可由數個簡單的假設推導出許多符合實證結果的推論。實證方面，本文利用台灣股價資料，挑選最具代表性的150家公司，檢驗本模型所特有的線性股價變異數－交易量關係式，以及檢驗是否股價藉由√Q 調整趨向常態分佈。實證結果證實模型預測和數據的表現吻合。 | zh_TW |
| dc.description.abstract | This thesis proposes a model for speculative price that modifies the classic stochastic model of Clark, P. K. (1973) by simply adapting trading volume, Q, as the operational time. It suggests return is a random walk driven by trading volume. Not only can this model be derived from two intuitive assumptions, but also can several stylized facts of speculative price be derived from a few further assumptions that are supported by empirical evidences. Empirical evidence is examined for the most representative 150 companies in Taiwan stock market: A linear equation of trading volume and return conditional variance is confirmed to describe the real data well. After divided by √Q, return tends to be normally distributed. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-16T08:31:10Z (GMT). No. of bitstreams: 1 ntu-102-R99323035-1.pdf: 6856363 bytes, checksum: adccaa280f8d89528df56de06a6e4b24 (MD5) Previous issue date: 2013 | en |
| dc.description.tableofcontents | 摘要 ii
Abstract iii Content iv List of Tables v List of Figures vi I. Introduction 1 II. Literature Review 3 III. Model 6 IV. Empirical Evidence 12 1. Data 12 2. Methodology 13 A. Normality Test 13 B. Linear Conditional Variance 14 3. Analysis Results 17 Appendix 25 A. Proof 25 B. Component List 28 C. Figures & Tables 32 Reference 63 | |
| dc.language.iso | en | |
| dc.subject | 隨機波動率 | zh_TW |
| dc.subject | 隨機走步 | zh_TW |
| dc.subject | 投機價格 | zh_TW |
| dc.subject | Speculative Price | en |
| dc.subject | Stochastic Volatility | en |
| dc.subject | Random Walk | en |
| dc.title | 論投機資產報酬：交易驅動之隨機走步模型 | zh_TW |
| dc.title | Volume-Driven Random Walk of Speculative Price | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 102-1 | |
| dc.description.degree | 碩士 | |
| dc.contributor.coadvisor | 陳釗而(Jau-Er Chen) | |
| dc.contributor.oralexamcommittee | 林常青(Chang-Ching Lin),葉錦徽(Jin-Huei Yeh) | |
| dc.subject.keyword | 隨機波動率,隨機走步,投機價格, | zh_TW |
| dc.subject.keyword | Speculative Price,Stochastic Volatility,Random Walk, | en |
| dc.relation.page | 65 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2013-12-25 | |
| dc.contributor.author-college | 社會科學院 | zh_TW |
| dc.contributor.author-dept | 經濟學研究所 | zh_TW |
| 顯示於系所單位： | 經濟學系 | |
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