The Bayes Statistical Analysis Of The Successive Rises And Falls Of Returns

The successive rises and falls of returns are one of the important indicators in thestudy of stock market, so it is of vital importance when analyzing the stock marketpolicy effect and the change of stock market.Based on the statistical analysis theory of change point, this paper analyses thesuccessive rises and falls of returns of Shanghai stock index by Bayes empiricalanalysis.The first chapter introduces some research methods and results of the successiverises and falls of returns and the change point problem. At the same time, it focuses onthe ideas and achievements of the Bayes method and finally illustrates the maincontent of this article.The calculation of the gamma distributed parameter’s change point by using Bayesmethod and the computation of the successive rises and falls of returns are presentedin the second chapter.In the third chapter，2262trading days of closing values of a certain Shanghai stockindex are chosen from January2,2001to May12,2010, then, we divide these datainto six stages by K-S test, and the results show that the distribution of the successiverises and falls of returns are fitted with gamma distribution in the six stages. We try tofind whether the change point exists in each piece of dates by calculating the Bayesposterior probability. At the same time, the estimation of change point location isgiven. Furthermore, the factors which influence the occurrence of change point arediscussed. Then we analyze the stock market policy and the effect of certain politicaland economic events on the Shanghai stock market.Chapter four of this article makes a summary, at the same time, deficiencies andprospects are given.