均值回歸理論和數量分析方法研究最新進展

The Latest Development on the Theory of Mean Reversion and Its Quantitative Analysis Method

宋玉臣(Yu-Chen Song)

《管理科學與統計決策》 2卷1期 (2005/06) Pp. 27-34

https://doi.org/10.6704/JMSSD.2005.2.1.27

摘要

隨機漫步理論(The Theory of Random Walk)的誕生與許多實證檢驗的支援證明瞭股票價格是不能預測的結論。但是，近十幾年證券投資理論的發展，股票價格走勢的可預測性無論在理論上還是在實證方面都有了突破性進展。均值回歸理論(The Theory of Mean Reversion)認爲從長期來看，股票價格呈均值回歸(Mean Reversion)。本文對近些年均值回歸理論和數量分析方法進行了全面、系統的綜述，並對均值回歸理論進行分析與評價，對長線投資者具有重要的參考價值。

關鍵字

均值回歸 ； 自相關 ； 方差比率 ； 單位元元元根 ； ANST-GARCH模型

並列摘要

The establishment of The Theory of Random Walk and many tests of it support that the stock price could not be predicted. Nevertheless, with the development of security investment theory for a decade, there has been a great progress at the forecast of the movement of share price theoretically and practically. The Theory of Mean Reversion believers argue that from a long run, the price of stock appears to be like mean reversion. The following article proves to be a comprehensive and systematic description, as well as a relevant analysis and comment of the theory of mean reversion, especially for long-term investors.

並列關鍵字

Mean Reversion ； Autocorrelation ； Variance ratio ； Unit root ； ANST-GARCH Model

參考文獻

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