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    Application of Survival Model

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    Application of Survival Model

    Copyright:

    © All Rights Reserved
    Download as PDF or read online from Scribd
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    7 views5 pages

    030610

    Uploaded by

    sandygta
    Application of Survival Model

    Copyright:

    © All Rights Reserved
    Download as PDF or read online from Scribd
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    46 PLR OA ati Se 224% 6M) 2003 411 A SLES, 1002 — 1566 2003 06004605, REP RHM LER SREEMRR — RCRA G BBR T CPMAHRAAE GH 230026) SBE ASAI AAR tM A AT, AA fea (Gamma 2-4 35 AR ARAL PLO AL A FR Ae ER AR 5 AUST BS RE KR. AER AA ee RUD TT Re IR ORE RC Hae. SENN ie A 9882; Comma A BO EA Sh 232.5 SEMA: Study of Shanghai tock Index and the polices effect with survival analysis LEL Ming, MIAO Bai-ai,NING Jing (USTE Hefei 230026) [Abstract:In this paper, tbe successive rises and tlls of Shanghai stock index retums are analyzed by survival model ‘The distributions of the successive rises and falls of cetumns ace fitted with Gamma distribution. By analyzing the survival functions we demvnstrate that the policy efeet on the stock market, such as"T +1" and “soaring deadline system” which is very different ean be distinctively presented by the different parameters in the Gamma distribution. [And the relationship between the stock index and trade volume is also analyzed, Key words; tock Index survival analysis gamma distribution, volume policy effect -3l ART ESTAR ZF HT EG EEA KN TIE) DAI “17F SoU AO MAE i FY TF 3) ABV ARCH ( Engle. 1982) ,o; #1 GARCH ( Bollerslev , 1986) 9) SRRVAM, Ha RIK AT Ht , A GMM ( Hansen , 1982) 5) FR iF BME, AB, ATES Pe BAR 2) RICA APHE ( Lo, 1991) 5) . HAR (Engle and Mangenelli,, 1999) BEET FE AT SE BE, A CARCH BUR TIM p ALS TT ANE, RC, A $9 — GARCH U8) iE SR AVR TE Hi DE Zl) 9. AR PTT AA Bt SC GIR ha SAAB ERE EET T OT HR, (OT WERE, BAL 4. AF FIGARCH #0 M054 RE TW eK TRAC HEHET T SEPT, ACIDE, FRA, PERG) HE BE TIT a HET TORE. ATLA, ERR © WREM-2002-07-19 fA EM2002 -11 -10 SPRUCE A BLA AEA RZ HR ESL HH RT AR aT HERPES VE ALT SP ALATA FES} (Survival Analysis) AY SEAUAN Is we ALL AE BEE VE M5 AF TRH — BRD BPE apizstsiives © AEST OTE IR AAR SBE HM — PRE 2 0 HER EH ER BULLER T ARETE, EAE Cony 9 ME BE TTAR ARSOHE AE APSA Ja 88 | At BET ASP, Ds ET RE HE AF BRAT A RPE “ERPRR EE Te DRE, GARI HEMEL EBISHE A BIRKIN, PICU EE Ba EC” 5 DRE BRA Se FBI I LEM TREE BRAS FELL” , ARRIBA A Aa AE” “Fe RAG. KPA EE, EAR RA ‘UG SR A) UCT ES oe OT SR BACT LA ED Ae Eka FT RR ASIC RA SEE AP PE ULE BERT 20> TE AT = HERRERA ESTER RBH MT RACWRSET 1992 45 AA 21 AE 2001 43 Fl 12 AA EAR, (E92 AES 21 ALLL HU AT Sy PER HE BOA BARA. TER EC — EE RR) 9 T BE CAT ‘HRA CEB VAD ANREP T RAT HORE, BOAT RAT UR CORA RR A, BD r= (p(t) -p(t-1))/pt-D) ARIANA OO RAN 1 Ri; wm | RRR | BREE (S) | SRMERR) | BRAM) Hen) | (00) =pG=D9/9-Y 4 ft TSH | ED. 58 es 1992-5 -22 1339.99 6.09 : 1992-5 =25 | 1421.57 =8.48 3 [i992 s=26 [1301.35 T= 831 1992 =§=27 | 1198.17 =277 1160.17 6.2 6a 1234.71 7 H 24.92, _| 1183.24 37 1141, 02 18 L 1059. 07 4.29 Ht 4.4 108.46 0.12 n10s.76 | _ 1.0 Peers eee 1083.46 3.03 aw 1126.62 5.36 1187.02 0.73 Ee i. 12 1178.3. =0..56 Wn. 7 0.01 oor | : oe TERA AEE X APRERRATC AE Y ATE R E PE PUTER ALY SPAT AESAT T+ NG UTA RA” A RPE BEA T+ 0” BCR AYIHI( 1992 45 fi 21H - 1994 AF 12 A 30) “7+ 1" BCR (1995 AE ALB 1996 4F 12 A 15 A), “BRARAR” BORE RT I (1996 4 12 A 16 A -2001 48 3 A 12 H) ERY, 48 PRE OMA KART STR 2% 6H 20034811 A SHARAN, 1X TEAS Fa AYE FF a SC) ETT LX EARS OR eae a IPE AS S (0) Oa SEAR AS ut Beet CA ACF AA, ae | aCe) = p(k >r) ol 2 TERIOR FERENCE a ncomapeppeees fait Ons 1 use PREP RYLARE TENT +O" YI OT + 1D" BPA” LB EB AX PR FR BIDE ARTA T+ 0" RTS FM I RR a a PHY ME TF RR AOR, RE AE EE RE A AN a A AE A AAR SEAT AT +B TLS ATER RATE BES TATE FEA UR RAN TAT NT + 1" BOR TRAE REAL AC AIR To TADONY FR TT eB, SAT“ AR” CES Ae APR EHS BR T+ 1" YMA SBE T — a, PRO A eb EH AE 2 EB A Be Bh AC AS TB 2X ERMA AT mee Me iT “i eee a Xf OA HE OME Fn) BYE LE PQrsX 0 IATA), UP Y HERSKA HALSR. 1 SpA OSA TRE AB VeS/Y=TA Kt RAILS AAT I BURIAL (mL. OBIS S, REA SEH ANSE A HG m. Le. 38 BL GEA FEUILLE EARS AE ASEH TH AE, 49 PEACE Ep SEAT Jom. 1. e.g PERE ALF a FS BL BB 9 BCH 11S epi eevee TR 222: FRSAGER IRD BA Se Ht Bo UT — HE th Oo eB, Teo | T+! BR Kolmogorov-Smirnov. #2 tt E27 #2 9 MIR TH. RATA ARABS FF at SMT N4E 2, 3F5i1 eh Kolmogorov-Smmimov 46,206, BENIGN AY p-value ff, MR ET AE i pevelue {F145 . 229190 A AUR AE Sai. 1(0.79,16.9) | T(1,32.09) | PC. 18,46) csai [ose —_[o.s6n TU.07,19.9) | 735.32) | F(O.88,9.8) cre [osaer [0.9508 A LS REAR ACUUEMAERN ORE VER BARRETT BERT A ICZM, PEE ROSE amas EKER SRLALMMKA. AAR " ATVDESE Se HEEL” ZT 9 AA, PATTIE IE SUA ARCA RE HEART HES TEA (FL STE BR A a OX A AR. PEDUAY AS FM SEP BE BO A as KX BO Mt 4 BREE SEC PB AE, RSS ACF I RB, Ze A BRT AG AL RS SE A BW RAR BE AERA ADB. RO TARR th AR UE BRR” KSC AGA AS LH, ORR RIC RBA AS RAT KG. HBL BU AF HBAS E AZ A ARIE? 5] AVR CL AR ERY HELL X SPARSE f(r) =Car)! eR) 6% log(X) = —loga + log( AX) FER log AX) AR RAE EAE ALE SA, ICE OB BO exp(kW-exp(W), -o%

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