Modelling Structural Breaks In Stock Price Time Series Using Stochastic Differential Equations
利用随机微分方程刻画股票价格时间序列的结构突变
This paper studies the effect of quarterly earnings reports on the stock price. The profitability of the stock is modelled by geometric Brownian diffusion and the Constant Elasticity of Variance model. We fit several variations of stochastic differential equations to the pre-and after-report period using the Maximum Likelihood Estimation and Grid Search of parameters method. By examining the change in the model parameters after reports' publication, the study reveals that…