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    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/118273

    Title: 股價變化之波動的若干流體動力訊號–跨天效應
    Some hydrodynamic signatures in fluctuations of stock price changes–crossing day effect
    Authors: 吳培煜
    Wu, Pei-Yu
    Contributors: 馬文忠
    Ma, Wen-Jong
    Wu, Pei-Yu
    Keywords: 股票
    After trading
    Date: 2018
    Issue Date: 2018-07-03 17:31:37 (UTC+8)
    Abstract: 本論文探討 2004 年至 2009 年台灣市場(TWII)的股票群體報酬在 不同時間尺度下,類比於多粒子系統的擴散常數 D、動力溫度 θ 及移 動率 μ 等動力參數,並與 1996 年至 2001 年的美國、台灣、上海股市 的數據進行比較,研究不同市場中的共同特性。我們密集計算個股報 酬的高頻序列,其中序列時間點的間隔固定,計算報酬所採用的時間 間隔時間 τ 則作為時間尺度變數。我們分析不同年份的台灣與美國市 場、其交易日之間的跨天效應,發現跨天影響的重要性。我們檢視時 間序列的交易數據,得到跨天的影響廣泛的存在於不同時間、市場的 股票之中,藉由區分報酬數據是否跨天的情況、計算機率密度函數分 佈的尺度參數的變化,從中確認這兩種市場中的共同統計性質,並發 現跨天會使機率密度函數分佈呈現「不對稱」的特徵。我們發現跨天 的效應會使數據中地使價格差持續為正(或持續為負),在計算時間的 統計分布中,透過盤後的等效交易時間tafter 可以有效量化跨天的效 應。
    除了時間上的分析,本論文引入網路的概念把股票間的相關係數當 作連結強度,分析股票網路在(時間序列長度)T 的維度空間中之結 構,得到了股票網路中各節點(股票)的「不均質」特性,並透過一 個網路模型的建構程序,對這「不均值」的特性進行定性上的研究。 我們又引入時間的因素,同時考慮時間與空間上的相關性,並從中又 發現跨天與跨天間有影響的訊號,此與盤後的等效交易時間tafter 的 分析相互應,定量上確認了股票網路在時間上由跨天造成的「不均勻」的特性。
    By the analogy of a system of many particles, we study the diffusion constant D, kinetic temperature θ and mobility μ obtained from the log-returns over different time scales for a collections of stocks in Taiwan market, over 2004- 2009. The values of these hydrodynamic parameters are compared with their counterparts for stocks in Taiwan, US and Shanghai markets from 1996 to 2001, to reveal their common properties. The sequences of returns of individual stocks are intensively evaluated, keeping the interval in between the time spots of the sequences fixed and treating the time τ over which the returns are calculated as the variable for time scales. We checked the time sequences of trading data and found that crossing-day effect is present in all points in time and market.By distinguishing between returns of crossing-day and those of non-crossing-day, the analysis both of scaling properties in probability functions and of the enhanced statistics of persistent time for up-trend (or down-trend) events as an effect caused by crossing-day contributions, show same features shared by Taiwan and US markets. The crossing-day effect makes the probability functions asymmetric. Such an efffect can be quantified by finding the effective after-market trading time tafter. In interpreting the cross correlation coefficient as the strength of the bond in between two stocks, a networks of stocks with continuous values in the bonds among the sites is introduced, which, in combination with model construction, helps to capture qualitatively the main features of stock-stock heterogeneity. In the analysis to include the temporal correlation as well as the stock-stock cross correlations, the crossing-day effect displays concrete signatures, which furtherly support the results revealed in the analysis of persistent time of up-trend events.
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    Description: 碩士
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G1047550092
    Data Type: thesis
    DOI: 10.6814/THE.NCCU.AP.001.2018.B04
    Appears in Collections:[應用物理研究所 ] 學位論文

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