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假设股价变化遵循马尔科夫转移过程,考察具有不同心态的投资者的市场行为,给出投资者心态与股价变化之间相互作用的模型,得到了股价走势的两个基本模式,并用此模型解释股价走势中的动量效应和反转效应.
Suppose the share price changes follow the Markov transfer process and examine the market behavior of investors with different mentality, give the model of the interaction between investors’ mentality and stock price changes, and get two basic models of stock price trend and use this model to explain Momentum and Reversal in the Price Movement.