A strong deviation theorem and its application to herding effect

被引：3

作者：

Cui, Zixian ^{[1
]}

Xiang, Yingxue ^{[1
]}

Zhao, Peibiao ^{[1
]}

Zhou, Dongyue ^{[2
]}

机构：

[1] Nanjing Univ Sci & Technol, Dept Appl Math, Nanjing 210094, Peoples R China

[2] Holly Futures Co Ltd, Nanjing 210001, Peoples R China

来源：

RESULTS IN APPLIED MATHEMATICS | 2020年 / 5卷

关键词：

Strong deviation theorems; Moving averages; Herd effect;

D O I：

10.1016/j.rinam.2019.100084

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

Wang and Yang (2011) studied the strong deviation theorems of the n-th order identical distribution (for short i.d.) random sequences. In the present paper we arrive at the strong deviation theorems for the moving averages of the third order non identical distribution(for short n.i.d.) random sequences. Then we use this strong deviation theorem for the second order n.i.d. random sequences to construct a reasonable model to describe the behavior of the Herd Effect. (C) 2019 The Author(s). Published by Elsevier B.V.

引用

页数：12

共 4 条

[1] A THEORY OF FADS, FASHION, CUSTOM, AND CULTURAL-CHANGE AS INFORMATIONAL CASCADES [J].

BIKHCHANDANI, S ;

HIRSHLEIFER, D ;

WELCH, I .

JOURNAL OF POLITICAL ECONOMY, 1992, 100 (05) :992-1026

[2]

[汪忠志 Wang Zhongzhi], 2011, [工程数学学报, Chinese Journal of Engineering Mathematics], V28, P702

[3] RELATIVE ENTROPY DENSITIES AND A CLASS OF LIMIT-THEOREMS OF THE SEQUENCE OF M-VALUED RANDOM-VARIABLES [J].

WEN, L .

ANNALS OF PROBABILITY, 1990, 18 (02) :829-839

[4] FTIR Analysis of Oil Shales from Huadian Jilin and Their Pyrolysates [J].

Xie Fang-fang ;

Wang Ze ;

Song Wen-li ;

Lin Wei-gang .

SPECTROSCOPY AND SPECTRAL ANALYSIS, 2011, 31 (01) :91-94

← 1 →