分形市场假说下的三因子CAPM
hree-factor CAPM under Fractal Market Hypothesis
本文运用非线性协整理论研究分形市场中资产收益与影响因子之间的非线性均衡关系，建立了分形市场假说下的三因子CAPM模型，并给出了利用小波神经网络逼近非线性协整函数的方法。
Nonlinear cointegration theory is used to study the nonlinear balanced relationship between return of assets and impact factors.The dissertation gives out the three-factor CAPM under Fractal Market Hypothesis.We use wavelet neural network to construct the nonlinear cointegration function.
孙景云、刘士鹏、朱品品
财政、金融
分形市场假说三因子CAPM非线性协整函数小波神经网络
Fractal Market Hypothesisthree-factor CAPMnonlinear cointegration functionwavelet neural network
孙景云,刘士鹏,朱品品.分形市场假说下的三因子CAPM[EB/OL].(2008-06-12)[2025-08-17].http://www.paper.edu.cn/releasepaper/content/200806-252.点此复制
评论