Statistical analysis of switching states in stock market

股票市场状态切换统计分析

• 批准号: 21730256
• 负责人: SHIBATA Mai
• 金额: $ 0.75万
• 依托单位: Rikkyo University
• 依托单位国家: 日本
• 项目类别: Grant-in-Aid for Young Scientists (B)
• 财政年份: 2009
• 资助国家: 日本
• 起止时间: 2009 至 2010
• 项目状态: 已结题
• 来源: https://kaken.nii.ac.jp/grant/KAKENHI-PROJECT-21730256/
• 关键词: TOPIX; ブル・ベア市場; マルコフ・スイッチング; ボラティリティ; 持続期間

This is the statistical research for stock market's return series, especially middle to long term fluctuations in the return series. In this research, we investigate how the mean of the return series fluctuates, focusing on upward or downward trend. And we identify the switching point from upward (downward) to downward (upward) trend phase using statistical models. Using the relationship between the mean cyclical behavior and variance in the return series, we can identify the stock market's phases as statistically. And we investigate causes of the cyclical behavior in the stock return series.

这是对股票市场收益序列，特别是收益序列中长期波动的统计研究。在本研究中，我们研究了收益率序列的均值如何波动，侧重于上升或下降的趋势。并且我们使用统计模型确定了从向上（向下）到向下（向上）趋势阶段的转换点。利用收益率序列中平均周期行为与方差之间的关系，我们可以在统计上识别股票市场的阶段。并研究了股票收益序列中周期性行为的原因。

项目成果

Identifying Bull and Bear markets in Japan

识别日本的牛市和熊市

• 发表时间: 2010
• 作者: Kitamura;Y.;柴田舞
• 通讯作者: 柴田舞