金融时间序列中收益的多变量分布
凝聚态物理
2007-08-23 v1
摘要
构建了收益的多变量概率密度函数，以建模金融时间序列中收益的经验行为。它们描述了从高斯随机游走的偏离，如收益分布的近似尺度化和厚尾、volatility-volatility 长程关联 (volatility clustering) 以及收益-volatility 关联 (leverage effect)。模型的自由参数通过拟合 100+ 年每日 DJIA 30 产业指数价格来固定。我们构建的多变量概率密度函数可用于衍生证券定价和风险管理。
引用
@article{arxiv.cond-mat/0310300,
title = {Multivariate distribution of returns in financial time series},
author = {E. Alessio and V. Frappietro and M. I. Krivoruchenko and L. J. Streckert},
journal= {arXiv preprint arXiv:cond-mat/0310300},
year = {2007}
}
备注
Talk given by M. I. Krivoruchenko at the International Conference of Computational Methods in Sciences and Engineering 2003 (ICCMSE 2003), Kastoria, Greece, 12-16 September 2003; 16 pages, 4 Postscript figures, REVTeX. Extended abstract appeared in: Proceedings of the International Conference of Computational Methods in Sciences and Engineering 2003 (ICCMSE 2003), Ed. T.E. Simos (World Scientific Publishing Co., Singapore, 2003), pp. 323-326