The Price Momentum of Stock in Distribution and Its Empirical Tests

本文提出分布意义下的股票价格动量并研究其在证券投资中的应用。首先假设每支股票为一个多粒子系统，引入股票交易筹码分布，在实证检验中利用正态分布对其进行估计；其次，本文给出一个迭代算法用来估计股票的成本分布；最后，基于成本分布定义新股票价格动量，并利用动量/反转策略对其进行实证分析，结果表明：新动量在很多方面优于其它动量。 In this paper, a new price momentum of stock in distribution is proposed and applied in real investment. Firstly, it is assumed that a stock behaves as a multi-particle system, the stock share- exchange distribution of stock price is introduced and estimated by the normal distribution in empirical tests. Secondly, an iterative method is given to get cost distribution of stock price. Thirdly, based on cost distribution, a new price momentum of stock is delivered. An empirical test is given to compare the new momentum with others by contrarian strategy. The result shows the new one outperforms others in many places.