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https://ah.lib.nccu.edu.tw/handle/140.119/136828| 題名: | 探究混合二維卜瓦松模型與混合二維常態模型之關聯 | 作者: | 郝飛洋 Hao, Fei-Yang |
貢獻者: | 鄭宗記 Cheng, Tsung-Chi 郝飛洋 Hao, Fei-Yang |
關鍵詞: | 卜瓦松分配 常態分配 卜瓦松分配趨近於常態分配 雙變量 混合 |
日期: | 2021 | 上傳時間: | 2-Sep-2021 | 摘要: | 在估計股票市場事前交易機率(Probability of Informed trading)時， Duarte 和 Young（2009）使用了三個雙變量卜瓦松混合模型，由於參數數量，股票買賣量巨大等問題，導致參數估計的結果不如預期。我們想到在樣本資料符合混合雙變數卜瓦松分配且參數很大時，若使用混合雙變數常態分配模型進行參數估計得到的估計結果，相較於使用混合雙變量卜瓦松分配來估計時，是否也能得到表現良好的結果？本篇論文通過模擬的方式對此問題進行進一步的探討。經過對模擬結果進行分析，我們發現隨著在卜瓦松分配參數增大，常態分配模型與卜瓦松分配模型的參數估計結果越來越接近。 | 參考文獻: | Acharya, Viral V. and Johnson, Timothy C., Insider trading in credit derivatives. J. Financ. Econ., 2007, 84(1), 110–141.\nAlessandro, B., & Pier, A., F, Simulation of correlated Poisson variables. Applied Stochastic Models in Business and Industry, 2015, 31, 669-680.\nAli, Ashiq, Klasa, Sandy and Zhen Li, Oliver, Institutional stakeholdings and better informed traders at earnings announcements. J. Account. Econ., 2008, 46(1), 47–61.\nAscioglu, Asli, Hegde, Shantaram P. and McDermott, John B., Information asymmetry and investment-cash flow sensitivity. J. Bank. Finance, 2008, 32(6), 1036–1048.\nBharath, Sreedhar T., Pasquariello, Paolo and Wu, Guojun, Does asymmetric information drive capital structure decisions?. Rev. Financ. Studies, 2009, 22(8), 3211–3243.\nBrown, Stephen, Hillegeist, Stephen A. and Lo, Kin, Conference calls and information asymmetry. J. Account. Econ., 2004, 37(3), 343–366.\nBrown, Stephen, Hillegeist, Stephen A. and Lo, Kin, The effect of earnings surprises on information asymmetry. J. Account. Econ., 2009, 47(3), 208–225.\nChen, Yifan and Zhao, Huainan, Informed trading, information uncertainty, and price momentum. J. Bank. Finance, 2012, 36(7), 2095–2109.\nDuarte, Jefferson, Hu, Edwin and Young, Lance, A comparison of some structural models of private information arrival. J. Financ. Econ., 2020, 135(3), 795–815.\nDuarte, Jefferson and Young, Lance, Why is PIN priced?. J. Financ. Econ., 2009, 91, 119–138.\nEasley, David, Hvidkjaer, Soeren and O’Hara, Maureen, Is information risk a determinant of asset returns?. J. Finance, 2002, 57(5), 2185–2221.\nEasley, David, Hvidkjaer, Soeren and O’Hara, Maureen, Factoring information into returns. J. Financ. Q. Anal., 2010, 45(2), 293–309.\nEasley, David, Kiefer, Nicholas M. and O’Hara, Maureen, The information content of the trading process. J. Empir. Finance, 1997, 4, 159–186.\nEasley, David, Kiefer, Nicholas M., O’Hara, Maureen and Paperman, Joseph B., Liquidity, information, and infrequently traded stocks. J. Finance, 1996, 51(4), 1405–1435.\nEllul, Andrew and Pagano, Marco, IPO underpricing and after-Market liquidity. Rev. Financ. Studies, 2006, 19(2), 381–421.\nErsan, Oguz and Alıcı, Aslı, An unbiased computation methodology for estimating the probability of informed trading (PIN). J. Int. Financ. Markets, Inst. Money, 2016, 43, 74–94.\nFinch, Stephen J., Mendell, Nancy R. and Thode,Jr, Henry C., Probabilistic measures of adequacy of a numerical searchfor a global maximum. J. Am. Stat. Assoc., 1989, 84(408), 1020–1023.\nHolgate, P, Estimation for the Bivariate Poisson Distribution. Biomettrika, 1964, 51(1/2), 241-245.\nInbal, Y., & Galit, S, On generating multivariate Poisson data in management science applications. Applied Stochastic Models in Business and Ind¬ustry, 2012, 28, 91-102.\nKang, Qiang and Liu, Qiao, Stock trading, information production, and executive incentives. J. Corporate Finance, 2008, 14(4), 484–498.\nKarlis, Dimitris and Xekalaki, Evdokia, Choosing initial values for the EM algorithm for finite mixtures. Computat. Stat. Data Anal., 2003, 41(3-4), 577–590.\nLee, Charles M.C. and Ready, Mark J., Inferring trade direction from intraday data. J. Finance, 1991, 46(2), 733–746.\nLi, Haitao, Wang, Junbo, Wu, Chunchi and He, Yan, Are liquidity and information risks priced in the treasury bond market?. J. Finance, 2009, 64(1), 467–503.\nLin, Hsiou-Wei William and Ke, Wen-Chyan, A computing bias in estimating the probability of informed trading. J. Financ. Markets, 2011, 14(4), 625–640.\nMadsen, L, & Dalthorp, D, Simulating correlated count data. Environmental and Ecological Statistics, 2007, 14, 129-148.\nTom, B., & Dimitris, K, A multivariate Poisson mixture model for marketing applications. Statistica Neerlandica, 2004, 58(3), 322-348. | 描述: | 碩士 國立政治大學 統計學系 106354030 |
資料來源: | http://thesis.lib.nccu.edu.tw/record/#G0106354030 | 資料類型: | thesis |
| Appears in Collections: | 學位論文 |
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| 403001.pdf | 3.27 MB | Adobe PDF2 | View/Open |
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