诺贝尔奖和股票预测

野狐禅

诺贝尔奖和股票预测

来自：MACD论坛(bbs.macd.cn) 作者：野狐禅 浏览：7844 回复：41

很多看上去是随机的时间序列，如经济发展，股票价格等，其导数或高阶导数序列，或分维导数序列可能是稳态的，因而具有可预测性。Clive 等人的工作介绍了这些概念和计算方法，获 2003 诺贝尔经济奖

Clive W. J. Granger, jointly with Robert F. Engle, won the 2003 Noble Prize in Economics for his work on an advanced statistical modeling and forecasting technique called cointegration. Cointegration provides a rigorous approach to determining whether or not two or more things are related. In addition, by using sophisticated econometric models which exploit cointegration, it is possible to forecast with more accuracy and consistency.

Cointegration is one of the more advanced techniques used by Hedge Funds and Investment Banks for certain types of statistical arbitrage trading.

The article is 729K which exceded 512K limit here. The following is a link:
Nobel.2003.Economics

[ Last edited by 野狐禅 on 2004-12-16 at 06:28 ]

永和九年

不知道什么原因，这个link打不开。。。。。

野狐禅

Check this link for the article:
http://nobelprize.org/economics/laureates/2003/adv.html
http://nobelprize.org/economics/ ... granger-lecture.pdf
http://nobelprize.org/economics/laureates/2003/ecoadv.pdf

[ Last edited by 野狐禅 on 2005-1-6 at 23:42 ]

fract

谢野狐禅兄！您的那个股飞不通过代理很难上去啊。

野狐禅

Originally posted by fract at 2005-1-5 08:01
那个股飞不通过代理很难上去啊。

可能是象老龟说的，让中国方面档住了。不过这个“ MACD股市技术分析俱乐部”我从家里也是上不来的。从公司倒是可以。

野狐禅

Risk and Volatility: Econometric Models and Financial Practivce, Nobel Lecture, December 8, 2003, by Robert F Engle.

The advantage of knowing about risks is that we can change our behavior to avoid them. Of course, it is easily observed that to avoid all risks would be impossible; it might entail no flying, no driving, no walking, eating and drinking only healthy foods and never being touched by sunhine. Even a bath could be dangerous. I could not receive this prize if I sought to avoid all risks. There are some risks we choose to take because the benefits from taking them exceed the possible costs. Optimal behavior takes risks that are worthwile. This is the central paradigm of finance; we must take risks to achieve rewards but not all risks are equally rewarded. Both the risks and the rewards are in the future, so it is the expectation of loss that is balanced against the expectation of reward. Thus we optimize our behavior, and in particular our portfolio, to maximize rewards and minimize risks.

http://nobelprize.org/economics/laureates/2003/engle-lecture.pdf

fract

感谢野狐禅兄上传的几篇诺贝尔奖好文！收下来仔细看看。

zouyang

[ Last edited by zouyang on 2005-1-7 at 13:38 ]

fract

Originally posted by zouyang at 2005-1-7 13:33

zouyang总版主好！我按野狐禅兄提供的连接已下载。因现在有点事，稍后我将这几篇已下载的论文传上来吧。
粗略看了一遍，主要涉及ARCH模型组的应用。考虑到许多朋友对ARCH模型组并不熟悉，看外文也较吃力，稍后我将自己收藏的有关中文资料也上传，以便有兴趣的朋友们参考。

fract

TIME SERIES ANALYSIS, COINTEGRATION,AND APPLICATIONS
Nobel Lecture, December 8, 2003
by Clive W.J. Granger
Department of Economics, University of California, San Diego, La Jolla, CA92093-0508, USA.

fract

Time-series Econometrics:Cointegration and Autoregressive Conditional teroskedasticity

fract

RISK AND VOLATILITY: ECONOMETRIC MODELS AND FINANCIAL PRACTICE
Nobel Lecture, December 8, 20031
by
Robert F. Engle III
New York University, Department of Finance (Salomon Centre), 44 West
Fourth Street, New York, NY 10012-1126, USA.

梁梦

fract真是好人
谢谢了。

06092793

谢谢！

付振中

:*22*::*22*::*22*::*22*:

faZhansohu

中国，怎么老是英文，

野狐禅

Originally posted by faZhansohu at 2005-3-6 17:00
中国，怎么老是英文，

得了诺贝尔奖的那伙计文化水平不高，好像不会写中文。

jianjun-wu

谢谢！

drongd

英文看着好费劲

quanfusong

very good