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研究生： 許雁然
Hsu, Yen-Jan
論文名稱： 股票市場價格轉折點之研究
Change-Point Estimation for the Stock Market Prices
指導教授： 任眉眉
Zen, Mei-Mei
學位類別： 碩士
Master
系所名稱： 管理學院 - 統計學系
Department of Statistics
論文出版年： 2003
畢業學年度： 91
語文別： 英文
論文頁數： 46
中文關鍵詞： 股價 、幾何布朗運動 、轉折點 、連續時間的估計
外文關鍵詞： stock price, change-point, continuous-time estimation, geometric Brownian motion
相關次數： 點閱：162  下載：7 
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    • 探測轉折點的工作被應用在許多領域，本文主要針對股價模型探討轉折點之估計問題。幾何布朗運動是最廣泛被應用的模型。我們考量在此模型之下，利用最大概似法分別探討離散時間與連續時間兩方面為估計方法進行股價轉折點之研究。文中針對台灣電子類股的股價資料進行實證分析，進而研究本估計法則在觀察時間區間長度較大時之表現。

    Based on the geometric Brownian motion, the task of detecting a change-point for the model of stock price behavior is considered. Maximum likelihood principle is applied to estimate the change-point of the stochastic process. In this study, both discrete-time and continuous-time estimation are considered. Finally, Taiwan Electronic Sector Stocks are analyzed to illustrate the proposed procedure. Numerical results show that the proposed procedure is useful.

    1 Introduction . . . . . . . . . . . . . . . . . . . . 1 1.1 Motivation and Background . . . . . . . . . . . . 1 1.2 Objective . . . . . . . . . . . . . . . . . . . . 2 1.3 Organization . . . . . . . . . . . . . . . . . . . 2 2 Literature Review . . . . . . . . . . . . . . . . . 4 2.1 The Process for Stock Prices . . . . . . . . . . . 4 2.2 The Distribution of Stock Returns . . . . . . . . 5 2.3 Lognormal Property of Stock Prices . . . . . . . . 7 2.4 Geometric BrownianMotion with a Change-point . . . 8 3 Point Estimation . . . . . . . . . . . . . . . . . 12 3.1 Discrete-Time . . . . . . . . . . . . . . . . . . 12 3.2 Continuous-Time . . . . . . . . . . . . . . . . . 15 4 Empirical Application . . . . . . . . . . . . . . . 19 4.1 Data Description . . . . . . . . . . . . . . . . 19 4.2 Analysis of Electronic Sector Stock Index . . . . 20 4.3 Estimation Results . . . . . . . . . . . . . . . 31 4.3.1 Stock Prices of TSMC . . . . . . . . . . . . . 31 4.3.2 Stock Prices of UMC . . . . . . . . . . . . . . 34 4.3.3 Summary . . . . . . . . . . . . . . . . . . . . 38 5 Concluding Remarks . . . . . . . . . . . . . . . . 39 Bibliography . . . . . . . . . . . . . . . . . . . . 41 Appendix A . . . . . . . . . . . . . . . . . . . . . 43 Appendix B . . . . . . . . . . . . . . . . . . . . . 44

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