股票价格可预测性证明
首发时间:2020-08-07
摘要:有效市场理论认为股票市场未来的价格与当前和过去的历史价格无关,并得出了股票价格不存在趋势、股票价格无法预测和技术分析无效等结论。但是大量的金融市场异象表明,股票市场在一定程度上是可以预测的,有效市场理论与金融市场实践的严重脱节,使数理金融学面临严峻的挑战。本文根据股票价格对数收益率为不相关白噪声的实证研究结果,推导出了股票价格的自相关函数、功率谱密度及波动范围,发现了隐藏在股票价格中的长期线性趋势和低频波动,从理论上证明了股票价格具有可预测性。
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Proof of Stock Price Predictability
Abstract:Efficient Market Theory believes that the future price of the stock market has nothing to do with the current and past historical prices, and concludes that there is no trend in stock prices, stock prices cannot be predicted, and technical analysis is invalid. However, a large number of financial market anonymous phenomenon have shown that the stock market is predictable to a certain extent, and the serious disconnect between the Effective Market Theory and financial market practice makes mathematical finance face severe challenges. Based on the empirical research result that the logarithmic return of stock prices is uncorrelated white noise, this paper derives the autocorrelation function, power spectral density and variation range of stock prices, which theoretically proves that stock prices are predictable.
Keywords: autocorrelation function power spectral density variation range
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