The fitness analysis for stock index and stock of American market
Here, we primarily make the fitness and statistic test with the actual trading data of the points of stock index, DJX (1/100DJ INDU), and prices of stock, MSFT (MICROSOFT CP).
The fitness of DJX. We take the close points of 1/100DJ INDU as sample data.
Time: Jun. 19, 2002 -Dec. 24, 2002.
Trading days: n=132.
Length of each field: ∆=0.862121 2120.
Number of fields: m=25.
The estimated results of parameters are as follows:
(a) The estimated values of parameters in partial distribution , P (µ, σ2) :
µ ˆ =84.84577713; ˆσ2 =28.65615031
(b) The estimating values of parameters in lognormal distribution Ln ( µl, σ2l):
µl= 4.440767790, 2 ˆ σ2l=0.002746603980;
(c) The fiducial test:
The corresponding histogram, samples foldgram and fitting curve of Partial Distribution are shown in the figure 5.1.
The fitness of MSFT. We take the close prices of MICROSOFT CP as sample data.
Time: Jan. 29, 2002 -Dec. 24, 2002.
Length of each field: ∆=0.467609(US $).
Number of fields: m=46.
The estimated results of parameters are as follows:
(a) The estimated values of parameters in partial distribution P (µ, σ2):
µ ˆ =53.58500013; ˆσ2 =24.62632700
(b) The estimated values of parameters in lognormal distribution Ln ( µl, σ2l):
µl= 3.976827406; ˆ σ2l=0.008770254161;
3) The fiducial test:
The corresponding histogram, samples foldgram and fitting curve of Partial Distribution are shown in the figure 5.2.
Prof. Feng Dai, Prof. Zifu Qin
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