Welcome to Journal of University of Chinese Academy of Sciences,Today is

›› 2004, Vol. 21 ›› Issue (3): 310-314.DOI: 10.7523/j.issn.2095-6134.2004.3.004

Previous Articles     Next Articles

Estimating the Parameters of Diffusion Equation by MCMC

WU ZhenXiang, MIAO BaiQi   

  1. University of Science and Technology of China, Hefei 230026, China
  • Received:2003-07-11 Revised:2003-10-08 Online:2004-05-10

Abstract:

Parameters of the diffusion about yield rate of Shanghai Index are obtained by using the MCMC method. Then, the distribution of future yield of next day is given by Monte Carlo, and the validity of the distribution is checked.At last, some risk analysis is made.

Key words: MCMC, diffusion equation, risk analysis

CLC Number: