Research Of Correlation And Persistence In The Financial Capital Return

It is most important step to study on the correlation and persistence of the financial capital return,especially,is most crucial work measuring accuratelly the correlation and persistence to explore the mechanism and operation of the capital market. To this end, by applying the theory of statistical physics and multiple-statistics and the model for financial measures to the practical problems of financia field, the achievements are as follows:1. The method to discerning the best correlation matrix is obtainded by the random matrix eigenvalue probability density function in statistical physics solving the matrix optimization. Empirical tests show that the efficient frontier may be bettler by the method .2. Based on Wishart probability distribution of multiple statistics, the revised model of the correlation coefficient is derived so that the sample pool doubt disappear and so the correlation coefficient becomes an accurate measure tool.3. After considering the Co-persistence thought, the dynamic portfolio model is built based on GARCH model,and the model can capture the local fluctuations of the financial assets,which is helpful to control the risk proliferation. The smaller volatility of portfolio return and the higher Sharp ratio of the allocation are showed by simulating the financial data.4. The spillover period concept and the spillover strength concept of the risk are raised,and the corresponding mathematical models are producted. At the same time,the empirical research reflect that Shanghai financial market impacts more deeply on the Shenzhen market,in contrary to,the Shenzhen market more weakly impacts Shanghai.And the 3 minute spillover period is reflected.The results are consistent to the fact.5.The common factor extraction method of Statistical physics is used in the capital asset pricing in order that the revised CAPM are invented. The model is more capable than the original model in capital asset pricing. These theoretical results were in five main sections of the paper, and, these studies were processed by following from the basis theory to the methods and the models, and ,last fact test ,so ,the metioned outcomes are scientific and practicality.