搜索结果: 1-3 共查到“金融市场 Noise”相关记录3条 . 查询时间(0.078 秒)
Noise, risk premium;and bubble
the market risk premium vector physical measure anomalous price dynamics
2011/3/30
The existence of the pricing kernel is shown to imply the existence of an ambient information process that generates market filtration. This information process consists of a signal component concerni...
Financial LPPL Bubbles with Mean-Reverting Noise in the Frequency Domain
Financial LPPL Bubbles Mean-Reverting Noise Frequency Domain
2010/10/21
The log-periodic power law (LPPL) is a model of asset prices during endogenous bubbles. A major open issue is to verify the presence of LPPL in price sequences and to estimate the LPPL parameters. Est...
Hidden Noise Structure and Random Matrix Models of Stock Correlations
Hidden Noise Structure Random Matrix Models Stock Correlations
2010/11/2
We find a novel correlation structure in the residual noise of stock market returns that is remarkably linked to the composition and stability of the top few significant factors driving the returns, a...