布朗運動及其應(yīng)用(參考版)
2025-07-01 09:41本頁面
【正文】 。s hypothesis is the core of modern capital market theory. The theory of modern capital market is characterized by the random nature of securities and futures prices, which is the non memory of the data, which is not a prediction of the future data. It is not surprising that the stock price behavior model is usually expressed by the famous Wiener process. An important significance of financial innovation in modern financial mathematics plays an important role. So far, the general view is that the stock market is random fluctuations.Stochastic volatility is the most fundamental characteristic of the stock market, which is the norm of the stock market. Brown39。 Ross (1976) of the arbitrage pricing theory.In this century, after more than half a century of research, people gradually get close to it. In the beginning of this century, the theory of Smoluchowski and Einstein, and Berg Si Weide39。 Samuelson and Fama (1970) of the effective market theory (EMH)。s hypothesis is the core of modern capital market theory. The modern capital market theory holds that stock futures price is random, which means that the data is non memory, that is, the prediction of the past data is not the basis of the future data. The mathematical definition of the random phenomenon is not deterministic. Random process. Stochastic process is the probability model based on probability space, is considered the dynamics of probability theory, namely, it is the study of the random phenomena with time evolution. So the random behavior is a kind of statistical rules of behavior. The price behavior models are usually expressed in the famous Wiener process. We assume that the Wiener process the stock price following the general is tempting, that is to say, it has the expected drift rate and variance rate. The Wiener process indicates that only the values of variables associated with future projections, past history variables and variables from the past to the present and the future evolution of the way the stock price forecast is not relevant. The Maldives Kopf and the nature of the weak market efficiency (the weak form of market efficiency) is consistent, that is to say, a stock price already contains all the information, including all the past records of prices. But when people began to study the financial market by using fractal theory, found its operation does not follow the Brown campaign but to more general fractional Brown motion.Brown movement throughout the financial field, in the modern financial field occupies an important position.Brown refers to a random walk without correlation, meet the statistical self similarity characteristics with random fractal, but the function of time (
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