Analysis on Financial Market Dependence and Improvement for Measuring Methods
Ruifeng Zhang · Journal of Chang'an University · 2006
This paper introduces several methods for the financial markets, especially qualitative and linear methods.The Copula is introduced to establish the relationship between a multidimensional probability function and its lower dimensional margins,and from it the dependent structure can be discovered.Copula contains more dependent information of the random variables than the common dependent methods.The overseas and domestic demonstrations show that the Copula method can be used more widely and efficiently in practice.This paper also presents some dependent quantitative analysis methods based on Copula theory and shows some further-applied fields and researching areas.