论文标题
具有交易量的定价股票
Pricing Stocks with Trading Volumes
论文作者
论文摘要
本文提出了一个新框架来描述股票价格动态。在传统的几何布朗运动模型及其变体中，波动性起着至关重要的作用。对资产定价的现代研究围绕波动扩大，试图改善对它的理解并消除理论和市场数据之间的差距。与此不同，我们建议用股票定价模型中的交易量代替波动率。这种定价策略基于两个假设：一个从流体流中借来的想法的价格 - 价值与变更价格（ROC）的白噪声假设，该假设通过对实际市场数据进行统计测试进行了验证。新框架可以轻松地针对选项定价问题的本地音量和随机数量模型，这将指出定量融资中此中心问题的新方向。
The present paper proposes a new framework for describing the stock price dynamics. In the traditional geometric Brownian motion model and its variants, volatility plays a vital role. The modern studies of asset pricing expand around volatility, trying to improve the understanding of it and remove the gap between the theory and market data. Unlike this, we propose to replace volatility with trading volume in stock pricing models. This pricing strategy is based on two hypotheses: a price-volume relation with an idea borrowed from fluid flows and a white-noise hypothesis for the price rate of change (ROC) that is verified via statistic testing on actual market data. The new framework can be easily adopted to local volume and stochastic volume models for the option pricing problem, which will point out a new possible direction for this central problem in quantitative finance.
