随机无序模型是阿尔伯特·N.谢里亚夫（AlbertNShiryaev）提出的一个序贯检测方法，被运用于军工、气象、水利等工业制造领域。而在金融市场上，股票状态瞬息万变，十分考验投资者的专业判断能力。因此，本书尝试将随机无序模型引入投资决策当中，从数学统计的角度分析最优投资决策的方法，并通过三个实例分析，来阐述该模型的优越之处。
詹钥凇，现任中山大学商学院助理教授，硕士生导师，中国人民大学金融学博士。研究领域包括市场微观结构、金融计量、量化投资等。论文发表于Journal of Business & Economic Statistics， Journal of Economic Dynamics and Control等国际知名学术期刊
第1章绪论···········································································001
1.1研究背景·········································································001
1.2研究动机·········································································003
1.3研究内容与创新之处··························································004
1.4研究方法·········································································007
第2章文献综述·····································································008
2.1随机无序模型的文献综述····················································008
2.2股票动量效应和趋势交易的文献综述·····································010
2.3市场极端风险的文献综述····················································014
2.4股价与企业投融资决策的文献综述········································016
第3章随机无序模型·······························································019
3.1随机无序问题的概率模型····················································019
3.2随机无序模型的求解··························································022
3.3附录···············································································031
第4章高频数据下的股价趋势分析及投资策略······························034
4.1引言···············································································034
4.2模型设定及求解································································036
4.3数值分析·········································································041
4.4实证研究·········································································046
4.5基于随机无序模型的趋势跟踪策略········································059
4.6小结···············································································063
4.7附录···············································································064
第5章股票市场极端风险管理研究············································068
5.1引言···············································································068
5.2极值理论·········································································069
5.3模型设定及求解·······························································076
5.4数值分析·········································································084
5.5实证研究·········································································087
5.6小结···············································································097
5.7附录···············································································098
第6章股价变动与公司投资决策···············································101
6.1引言···············································································101
6.2模型设定及求解·······························································103
6.3数值分析·········································································108
6.4实证研究··········································································117
6.5结论···············································································122
6.6附录···············································································123
第7章结论与展望·································································130
7.1研究结论·········································································130
7.2启示与展望······································································131
参考文献················································································133
书单推荐
