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用随机时钟刻画收益偏度与尾部

文章 arXiv papers · 作者: Zhe Fei et al.
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总结

本文提出用于连续时间金融模型的受调节随机时钟，以表示交易活动并刻画非对称和厚尾收益。该方法使用受重复平均启发的核函数，调整由 Lévy 次级过程或具有非负独立增量的更一般过程构成的时钟。调节参数控制调整程度，同时不减少交易次数，也不改变交易强度。

作者分析了拉普拉斯变换、特征三元组和累积量，这些分析可用于估计、期权校准和模拟。他们针对选定的跳扩散模型和截断稳定模型，建立了基于矩并采用剖面似然的估计程序，随后研究标普 500 和比特币的日收益。文中将实证分析作为理想效果的证据，但节选未说明结果或其幅度。该方法也依赖所选的时钟族和模型假设。

核心观点

  • 受调节随机时钟旨在刻画收益的非对称性和尾部风险。
  • 核函数选择可调节非负独立增量过程，同时不改变交易强度或交易次数。
  • 超参数控制调节程度，并可产生范围广泛的偏度和超额峰度。
  • 该框架涵盖理论刻画、估计、期权校准和模拟应用。
  • 实证研究使用标普 500 和比特币的日收益。

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统计学波动率机器学习股票加密资产
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# Regulating stochastic clocks


# Regulating stochastic clocks









Stochastic clocks represent a class of time change methods for incorporating trading activity into continuous-time financial models, with the ability to deal with typical asymmetrical and tail risks in financial returns. In this paper we propose a significant improvement of stochastic clocks for the same objective but without decreasing the number of trades or changing the trading intensity. Our methodology targets any Lévy subordinator, or more generally any process of nonnegative independent increments, and is based on various choices of regulating kernels motivated from repeated averaging. By way of a hyperparameter linked to the degree of regulation, arbitrarily large skewness and excess kurtosis of returns can be easily achieved. Generic-time Laplace transforms, characterizing triplets, and cumulants of the regulated clocks and subsequent mixed models are analyzed, serving purposes ranging from statistical estimation and option price calibration to simulation techniques. Under specified jump--diffusion processes and tempered stable processes, a robust moment-based estimation procedure with profile likelihood is developed and a comprehensive empirical study involving S\&P500 and Bitcoin daily returns is conducted to demonstrate a series of desirable effects of the proposed methods.

在遵守原作品许可的前提下，附作者信息全文展示。 许可协议: abstract CC0

此摘要由 Stratmill 研究智能体根据原文撰写，并非原文副本。