银行的金融数据分析------外文翻译.doc
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银行的金融数据分析------外文翻译,abstracta stochastic analysis of financial data is presented. in particular we investigate how the statistics of log returns change with different time delays t...
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Abstract
A stochastic analysis of financial data is presented. In particular we investigate how the statistics of log returns change with different time delays t. The scale-dependent behaviour of financial data can be divided into two regions. The first time range, the small-timescale region (in the range of seconds) seems to be characterised by universal features. The second time range, the medium-timescale range from several minutes upwards can be characterised by a cascade process, which is given by a stochastic Markov process in the scale τ. A corresponding Fokker–Planck equation can be extracted from given data and provides a non-equilibrium thermodynamical description of the complexity of financial data.
Keywords: Banks; Financial markets; Stochastic processes; Fokker–Planck equation
摘要
财务数据随机分析已经被提出，特别是我们探讨如何统计在不同时间τ记录返回的变化。财务数据的时间规模依赖行为可分为两个区域：第一个时间范围是被描述为普遍特征的小时间区域（范围秒）。第二个时间范围是增加了几分钟的可以被描述为随机马尔可夫规模的级联过程的中期时间范围。相应的Fokker - Planck方程可以从特定的数据提取，并提供了一个非平衡热力学描述的复杂的财务数据。
关键词：银行；金融市场；随机过程；Fokker - Planck方程
1 导言
银行的财务报表分析不同于制造业和服务业的公司。因此，一家银行的财务报表分析，需要用一个独特的方法来认识一家银行有哪些独特的风险
银行需要对储户的存款帐户支付部分利息。他们通过对这些基金
A stochastic analysis of financial data is presented. In particular we investigate how the statistics of log returns change with different time delays t. The scale-dependent behaviour of financial data can be divided into two regions. The first time range, the small-timescale region (in the range of seconds) seems to be characterised by universal features. The second time range, the medium-timescale range from several minutes upwards can be characterised by a cascade process, which is given by a stochastic Markov process in the scale τ. A corresponding Fokker–Planck equation can be extracted from given data and provides a non-equilibrium thermodynamical description of the complexity of financial data.
Keywords: Banks; Financial markets; Stochastic processes; Fokker–Planck equation
摘要
财务数据随机分析已经被提出，特别是我们探讨如何统计在不同时间τ记录返回的变化。财务数据的时间规模依赖行为可分为两个区域：第一个时间范围是被描述为普遍特征的小时间区域（范围秒）。第二个时间范围是增加了几分钟的可以被描述为随机马尔可夫规模的级联过程的中期时间范围。相应的Fokker - Planck方程可以从特定的数据提取，并提供了一个非平衡热力学描述的复杂的财务数据。
关键词：银行；金融市场；随机过程；Fokker - Planck方程
1 导言
银行的财务报表分析不同于制造业和服务业的公司。因此，一家银行的财务报表分析，需要用一个独特的方法来认识一家银行有哪些独特的风险
银行需要对储户的存款帐户支付部分利息。他们通过对这些基金
