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A simulation study on probability of Shanghai stock index first reaching 6000 under the influence of stamp duty adjustments. (Chinese. English summary) Zbl 1174.91393

Summary: By conducting an event study on the factors that may most likely incur abnormal changes in the Shanghai stock index, and by joining these factors to our model of the empirical data of the index during the last two years and then simulating the index in the future via the Monte Carlo method, the probability distribution forecast of the first passage time (FPT) of the Shanghai stock index conditional on some hypotheses is obtained. As a result, it is shown that the Shanghai stock index will attain a certain position in a period of coming days.

MSC:

91G70 Statistical methods; risk measures
65C05 Monte Carlo methods
91G60 Numerical methods (including Monte Carlo methods)
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