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英文文献：Measuring the Speed of Convergence of Stock Prices: A Nonparametric and Nonlinear Approach-衡量股票价格的收敛速度:一种非参数和非线性的方法
英文文献作者：Hyeongwoo Kim,Deockhyun Ryu
英文文献摘要：
This paper evaluates the speed of convergence across national stock markets employing a nonlinear, nonparametric stochastic model of relative stock prices. We use operational algorithms for estimating general measures of persistence of the relative stock price that are based on two statistical notions: the short memory in mean (SMM) and the short memory in distribution (SMD). Using G7 countries?? stock indices, we obtain strong empirical evidence in favor of the contrarian strategy for France, Germany, Italy, and the UK relative to the US market, while our results imply quite limited usefulness of the strategy for Canada and Japan. Further, we obtain fairly fast convergence rates toward the equilibrium for the former group.
本文利用一个非线性、非参数的相对股价随机模型来评价全国股票市场的收敛速度。我们使用操作算法来估计相对股价持久性的一般度量，这些度量基于两个统计概念:平均短记忆(SMM)和分布短记忆(SMD)。利用七国集团国家的股票指数，我们获得了支持法国、德国、意大利和英国相对于美国市场的反向策略的强有力的经验证据，而我们的结果表明该策略对加拿大和日本的有用性相当有限。进一步，我们得到了相当快的收敛速度向均衡前一组。
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