均值回归理论和数量分析方法研究最新进展
宋玉臣
(吉林大学数量经济研究中心吉林长春 130012)
内容摘要：随机漫步理论(The Theory of Random Walk)的诞生与许多实证检验的支持证明了股票价格是不能预测的结论。但是，近十几年证券投资理论的发展，股票价格走势的可预测性无论在理论上还是在实证方面都有了突破性进展。均值回归理论(The Theory of Mean Reversion)认为从长期来看，股票价格呈均值回归（Mean Reversion）。本文对近些年均值回归理论和数量分析方法进行了全面、系统的综述，并对均值回归理论进行分析与评价，对长线投资者具有重要的参考价值。
关键词： 均值回归 自相关方差比率 单位根 ANST-GARCH模型
The Latest Development on the Theory of Mean Reversion and its Quantitative analysis method
Song yuchen
(Business School , Jilin University,Changchun jilin 130012 )
Summary:
The establishment of The Theory of Random Walk and many tests of it support that the stock price could not be predicted. Nevertheless, with the development of security investment theory for a decade, there has been a great progress at the forecast of the movement of share price theoretically and practically. The Theory of Mean Reversion believers argue that from a long run, the price of stock appears to be like mean reversion. The following article proves to be a comprehensive and systematic description , as well as a relevant analysis and comment of the theory of mean reversion ,especially for long-term investors.
Key words:
Mean Reversion Autocorrelation Variance ratio Unit root ANST-GARCH Model
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