市场冲击前后的波动率：实证标度规律

文章 arXiv papers · 作者: Alexander M. Petersen et al.

总结

该研究考察市场冲击前后的波动率级联，并将每次超过预设阈值的波动率峰值视为一次冲击。研究将由此得到的高波动事件与被称为大森定律、生产率定律和巴斯定律的经验规律进行比较，并分析冲击前波动率的上升以及冲击后的衰减。冲击幅度定义为峰值处波动率的对数。

分析使用一分钟频率观测数据，涵盖219次已识别冲击，以及2001至2002年期间531只交易活跃的美国股票。作者报告了冲击幅度与冲击前、后波动率指标之间的关系，并发现交易越活跃的股票反应越强、越快。作者认为这与期权定价和波动率交易有关。这些是基于历史样本的条件统计发现；摘录未确立因果机制，也未证明这些关系在其他时期或市场中保持稳定。

核心观点

市场冲击被识别为超过预定阈值的波动率峰值。
研究通过三种经验标度规律考察冲击前后的波动率模式。
研究报告了冲击幅度与事件前后波动率变化之间的联系。
据报告，交易越活跃的股票反应越强、越快。
证据来自美国股票的历史样本，数据频率为一分钟。

We study the cascading dynamics immediately before and immediately after 219 market shocks. We define the time of a market shock T_{c} to be the time for which the market volatility V(T_{c}) has a peak that exceeds a predetermined threshold. The cascade of high volatility "aftershocks" triggered by the "main shock" is quantitatively similar to earthquakes and solar flares, which have been described by three empirical laws --- the Omori law, the productivity law, and the Bath law. We analyze the most traded 531 stocks in U.S. markets during the two-year period 2001-2002 at the 1-minute time resolution. We find quantitative relations between (i) the "main shock" magnitude M \equiv \log V(T_{c}) occurring at the time T_{c} of each of the 219 "volatility quakes" analyzed, and (ii) the parameters quantifying the decay of volatility aftershocks as well as the volatility preshocks. We also find that stocks with larger trading activity react more strongly and more quickly to market shocks than stocks with smaller trading activity. Our findings characterize the typical volatility response conditional on M, both at the market and the individual stock scale. We argue that there is potential utility in these three statistical quantitative relations with applications in option pricing and volatility trading.

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。

市场冲击前后的波动率：实证标度规律

总结

核心观点

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