主题：【原创】谈谈时间序列的平稳性（1） -- 万里风中虎
And ITO lemma is applied to random walk. Price is modeled as brownian motion (one kind of random walk). But I think it's more relevant to continuous t.
That's beyond my capacity. Don't know how to explain it in Chinese (don't get me wrong, I'm not proud of it. I don't know the translations of most terminologies.Explaining is not what i'm good at. Questioning is, as you can see). It's more efficient if you can grab an econometrics book in chinese. Random walk is a very basic and popular topic.
Not really. It's a notorious topic generated years of debate. If stock price is random walk, then the market is efficient and all the modelers will lose their job. Now you understand what they are fighting for.
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🙂No offence, but... 1 静默各自想拳经 字788 2010-02-04 09:36:50
🙂赞同老虎的从基础谈起 空白 字58 2010-02-04 09:28:12
🙂兄台是讲随机漫步吗？ 1 面壁 字160 2010-02-04 04:41:35
🙂Yes,random walk=随机漫步
🙂我个人山寨地用类似"薛定谔的猫"来解释 面壁 字392 2010-02-04 15:36:54
🙂有效市场理论的长期争论，我最近也在写这么个论文 2 万里风中虎 字0 2010-02-04 05:54:22
🙂这个内容好。期待开题。 面壁 字0 2010-02-04 15:38:28
🙂不厚道的想起了包博孙子 1 suisui 字36 2010-02-03 05:59:39