论文标题
定义股票价格回报的内在粘性参数
Defining an intrinsic stickiness parameter of stock price returns
论文作者
论文摘要
我们引入了单个股票回报的非线性定价模型，该模型定义了回报的粘性参数。定价模型类似于金融中使用的资本资产定价模型，但具有非线性组件，灵感来自于地质构造板块运动的模型。由于看到给定股票指数的价格变动为其单个股票收益的组成部分增加了压力，以便遵循该指数，因此与构造板移动的链接发生了。单个股票如何遵循指数的价格变动，然后可以用来定义其粘性
We introduce a non linear pricing model of individual stock returns that defines a stickiness parameter of the returns. The pricing model resembles the capital asset pricing model used in finance but has a non linear component inspired from models of earth quake tectonic plate movements. The link to tectonic plate movements happens, since price movements of a given stock index is seen adding stress to its components of individual stock returns, in order to follow the index. How closely individual stocks follow the indexs price movements, can then be used to define their stickiness
