均值回归理论和数量分析方法研究最新进展

均值回归理论与数量分析方法讨论最新进展宋玉臣 (吉林大学数量经济讨论中心 吉林长春 130012)内容摘要：随机漫步理论(The Theory of Random Walk)得诞生与许多实证检验得支持证明了股票价格就是不能预测得结论。但就是，近十几年证券投资理论得进展，股票价格走势得可预测性无论在理论上还就是在实证方面都有了突破性进展。均值回归理论(The Theory of Mean Reversion)认为从长期来瞧，股票价格呈均值回归（Mean Reversion）。本文对近些年均值回归理论与数量分析方法进行了全面、系统得综述，并对均值回归理论进行分析与评价，对长线投资者具有重要得参考价值。ndlXJXq。6OtFPxs。关键词： 均值回归 自相关 方差比率 单位根 ANST-GARCH模型The Latest Development on the Theory of Mean Reversion and its Quantitative analysis method bKkfGjw。I1RBkhL。Song yuchen(Business School , Jilin University,Changchun jilin 130012 )jERI0Xr。mN83zyU。Summary: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、E6vdqZe。YD51TEE。Key words:Mean Reversion Autocorrelation Variance ratio Unit root ANST-GARCH ModelHFK919x。VvPBL3I。均值回归（Mean reversion）就是指股票价格无论高于或低于价值中枢（或均值）都会以很高得概率向价值中枢回归得趋势。众所周知，随机漫步理论在证券投资理论中占有重要地位，但这绝不就是证券投资理论讨论得最终目得。对于一些投资者尤其就是对一些证券投资机构与投资基金来说，随机漫步理论得指导作用极其有限。近些...