臺灣博碩士論文加值系統

在股票交易上交易成本對於報酬率影響是顯著的，在David A. Lesmond 著作的
A New Estimate of Transaction Costs 這篇文章中作者提出一個模型，這個模型是用來評估交易成本和報酬率之間的關係，但是並沒有說明模型參數的估計方式，我將會在這篇碩士論文中利用一些統計方法來估計這個模型的參數，並利用模擬資料來驗證，我估計方法的準確性，最後我將會使用一些真實料，利用我所推出的估計方法找出最佳參數的估計結果。

一、Introduction…………………………………………………………1
二、 介紹方法&;方法流程……………………………………………….7
2-1 Bayesian…………………………………………………………….7
2-1-1 Gibbs Sampling Estimator………………………….…….10
2-1-2 Alpha1 &; Alpha2 Distribution…………………………....11
2-1-3 Beta Distribution………………………………………….12
2-1-4 Sigma Distribution………………………………………..13
2-1-5 R ∗ Distribution………………………………………………14
2-1-6 Gibbs Sampling 方法過程……………………………….14
2-2 Frequentist…………………………………………………………17
2-2-1 EM Method………………………………………………17
2-2-2 Beta MLE………………………………………………..19
2-2-3 Sigma MLE……………………………………………...20
2-2-4 EM 方法過程……………………………………………21
2-2-5 EM 詳細流程……………………………………………23
三、 模擬結果………………………………………………………….25
3-1 Gibbs Sampling Simulation Result……………………………….25
3-2 EM Simulation Result…………………………………………….26
四、真實股市資料兩種方法估計結果………………………………27
4-1 Gibbs Sampling Result……………………………………………27
4-2 EM Result…………………………………………………………27
五、 驗證……………………………………………………………….28
六、References………………………………………………………...33

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