【正文】 y and trading volume: an information flow interpretation of stochastic volatility[J]. The Journal of Finance, 1996, 51: 1692043 Clark P. A subordinated stochastic process model of cotton futures prices. 1973, . Dissertation, Harvard University4 Schwert G. William. Stock volatility and the crash of ’87[J]. The review of financial studies, 1990, 3:.771025 Karpoff, Jonathan M. The relation between price changes and trading volume: A survey[J]. Journal of financial and quantitative analysis, 1987, 22: 1091266 Gallant A Ronald, Peter E Rossi, George Tanchen. Stock Prices and Volume[J]. The Review of Financial Studies,1992, 5: 1992427 Hull J. and A. White. The pricing of options on assets with stochastic volatility[J]. Journal of finance, 1987, 42: 2823008 吳沖鋒，2001,(1):179 吳沖鋒，2000年2月A Dynamic Analysis of Trading Volumescaled Stock PricesWu Wenfeng and Wu Chongfeng（Management School, Shanghai Jiaotong Universtiy, 200052）Abstract Traditional time series analysis of stock price lacks the crucial factor—trading volume, we suggest that the price movements evolve on the trading volume. Under the trading volume process hypothesis, we put forward a new idea and new method—trading volumescaled dynamic analysis of stock prices. An empirical research confirms our idea about the analysis of trading volumescaled stock prices.Keywords trading volumescaled。按照AIC和BIC信息準(zhǔn)則以及模型的參數(shù)的顯著性進(jìn)行模型的辨識(shí)，我們得到兩個(gè)序列的ARIMA模型的階數(shù)，見表1。假設(shè)時(shí)刻的成交量進(jìn)程時(shí)間為，則時(shí)刻的累積成交量進(jìn)程時(shí)間為。例如：傳統(tǒng)的資產(chǎn)定價(jià)模型，研究的就是股票價(jià)格的衍生變量收益率的結(jié)構(gòu)和動(dòng)力學(xué)關(guān)系。 成交量