【摘要】 本文通过对深沪两地股票市场的股指收益率数据进行分析,发现两地股票收益率分布均呈现"尖峰厚尾"反正态特征,本文通过引入Laplace分布代替过去人们常用的正态分布去刻画收益率分布,结果显示Laplace分布比正态分布拟合效率有了明显的提高。更多还原

【Abstract】 In the paper,we investigate some stock-index return rate data from shenzhen and Shanghai stock market, to detect their distribution with a sharp-Kurtosis and fat-tail characteristic, not norm. we use Laplace distribution to replace normal distribution for simulation of the distribution of return rate. By statistical test, Laplace distribution shows more efficiency than normal distribution in Chinese securities market.更多还原