跳跃、流动性变化与价格发现能力研究——基于沪深300股指期货的分析

引入"方差互换"跳跃检验方法,详细考察沪深300股指期货各品种价格的跳跃行为,并以滚动替代统计方法识别跳跃发生时刻和跳跃高度,通过比较沪深300指数现货市场的变化和跳跃行为,揭示各种期货品种之间、现货和期货之间存在的关系,结果表明:在沪深300股指期货的4个品种中,离交割时间越远的品种,其波动率越大,但价格发现能力却越弱;在每个交易日内,股指期货跳跃时点有着明显的区间性,跳跃时点前后的交易量存在着一定的规律性;相比于现货,沪深300股指期货有着更好的价格发现功能。     

跳跃、流动性变化与价格发现能力研究——基于沪深300股指期货的分析

引入"方差互换"跳跃检验方法,详细考察沪深300股指期货各品种价格的跳跃行为,并以滚动替代统计方法识别跳跃发生时刻和跳跃高度,通过比较沪深300指数现货市场的变化和跳跃行为,揭示各种期货品种之间、现货和期货之间存在的关系,结果表明:在沪深300股指期货的4个品种中,离交割时间越远的品种,其波动率越大,但价格发现能力却越弱;在每个交易日内,股指期货跳跃时点有着明显的区间性,跳跃时点前后的交易量存在着一定的规律性;相比于现货,沪深300股指期货有着更好的价格发现功能。     

股市跳跃点对股票价量变化的影响分析

本文利用异常值剔除的方法,寻找出股市收益率的跳跃点后,以此为虚拟变量,建立多元回归模型分析跳跃点对股票日后价格和成交量变化的的影响,结果表明:跳跃点对收益率的影响大约有两天,跳跃点的收益率引起日后收益率的反向变化;跳跃点的成交量对日后成交量的影响大小是逐天递减的,而且这种负向的影响会持续三天到五天。     

中国股票市场的历史相似性研究

本文以2005年1月4日至2016年4月1日上证综指作为研究对象,对上证综指进行描述性统计分析,并采用方差比检验对股票市场进行弱势有效分析,随后通过非参数检验中的双样本Kolmogorov-Smirnov检验研究我国股市的历史相似性。研究发现,2016年当期股市状况与2009年相似。这一结论,对股票市场运行规律的研究具有一定的现实意义。     

基于跳跃、好坏波动率的混频已实现EGARCH模型的波动率预测与风险度量

为探究资产价格的跳跃行为和收益波动的非对称效应对波动率预测的影响,以高频数据建模为视角,基于跳跃、好坏波动率将Realized EGARCH-MIDAS模型进行拓展,以提升模型的波动率预测能力与风险度量效果。运用拓展后的模型,以沪深300指数价格高频数据为样本进行实证分析,探究中国股票市场的波动性规律,并采用似然函数、信息准则和基于损失函数的DM与MCS等检验方法,综合比较了改进前后的模型对波动率及风险值的预测效果。实证结果显示：(1)沪深300指数收益的长期波动主要来源于连续波动而非跳跃波动,且受正连续波动影响更大,而负跳跃对波动具有明显的负向冲击;(2)文章提出的拓展模型均能更好地捕捉波动率的长记忆性,在样本内估计和样本外预测上也都有更好的表现,其中同时考虑跳跃与非对称影响的Realized EGARCH-MIDAS-RSJ拓展模型拥有最优的估计及预测效果。     

轻盈跳跃

今年春夏，Maire Claire推出色彩跳跃、轻盈自然的新品。 “迷迭香”床品于灰绿的底色中点缀着跳跃的色彩，表现出春天万物复苏的景象。“桑德拉”用鲜艳的彩条搭配出干净、年轻、清爽的运动感。纯净的“克莱茵蓝”象征着天空和海洋，细致优雅的单线提花，如平静海面上的涟漪，若隐若现。全套产品取自于自然，表达了崇尚自然情节。     

基于高频数据的波动率与成交量动态关系研究

传统的价量分析都是从低频数据来分析股票市场上波动率、收益率与成交量之间的关系。基于高频数据,利用分位数回归并结合高频数据的波动率估计方法对高频数据中所呈现出的价量关系进行研究,并分析了股票价格跳跃过程所带来的跳跃方差与成交量之间的关系。实证分析表明：指数及个股收益率与成交量之间的关系并不显著;波动率、跳跃与成交量之间存在着显著相关的关系,个股的波动率与成交量之间的关系显著并呈现出正向相关关系,而指数的波动率与成交量之间呈现出一种负向关系,并且关系比较微弱;个股的成交量的改变会导致股票价格的跳跃方差的减小,而指数的成交量的改变则使得指数的跳跃方差增大。     

我国短期利率预测模型的实证研究

本文结合我国当前宏观调控最为关注的短期利率热点问题及短期利率波动性强等特征,在Vasicek模型基础上进行了改进,给出了跳跃模型。采用交易所7天国债回购利率数据,通过极大似然法对构建的跳跃模型进行了实证分析。结果表明：我国短期利率存在显著的跳跃行为,跳跃模型能全面地描述短期利率动态行为中均值回复性、时变波动率以及跳跃行为特征。     

惊险跳跃——民营出口企业的转型升级

本文从马克思主义经济学角度分析了顺利完成"惊险跳跃"对我国出口企业的重大意义,认为完成"惊险跳跃"不仅是其顺利实现资本循环的必要环节,也是企业资本不断积累和扩大的现实基础,继而提出了相应的政策建议。     

存贷款利率隐含期权定价的蒙特卡罗模拟及其改进

银行存贷款合约隐含的可提前偿还条件具有很强的期权性,用期权定价方法对其进行研究分析是一个重要的手段。本文首先在隐含期权标的利率特性分析的基础上,建立了符合利率运动规律的跳跃扩散模型;其次用期权定价的蒙特卡罗模拟方法对包含在可提前偿付存贷款合约中的隐含期权问题进行研究;最后引进对偶变量方差减少技术,并以实证数据说明了其有效性。研究结论认为,基于诸如对偶变量等方差减少技术的蒙特卡罗模拟改进方法是解决银行存贷款隐含期权定价问题的一种有效途径。     

Is it important to consider the jump component for pricing and hedging short‐term options?

The usefulness of the jump component for pricing and hedging short‐term options is studied for the KOSPI (Korean Composite Stock Price Index) 200 Index options. It is found that jumps have only a marginal effect and stochastic volatility is of the most importance. There is evidence of jumps in the underlying index but no evidence of jumps in the corresponding index options. However, these results may not be valid for individual equity options. © 2005 Wiley Periodicals, Inc. Jrl Fut Mark 25:989–1009, 2005     

The Term Structure of Simple Forward Rates with Jump Risk

This paper characterizes the arbitrage-free dynamics of interest rates, in the presence of both jumps and diffusion, when the term structure is modeled through simple forward rates (i.e., through discretely compounded forward rates evolving continuously in time) or forward swap rates. Whereas instantaneous continuously compounded rates form the basis of most traditional interest rate models, simply compounded rates and their parameters are more directly observable in practice and are the basis of recent research on "market models." We consider very general types of jump processes, modeled through marked point processes, allowing randomness in jump sizes and dependence between jump sizes, jump times, and interest rates. We make explicit how jump and diffusion risk premia enter into the dynamics of simple forward rates. We also formulate reasonably tractable subclasses of models and provide pricing formulas for some derivative securities, including interest rate caps and options on swaps. Through these formulas, we illustrate the effect of jumps on implied volatilities in interest rate derivatives.     

我国医疗保健行业股指收益率波动特征与杠杆效应

本文运用SWARCH模型分析了我国医疗保健板块收益率的波动,并将医疗保健板块收益率与上证综指、深证成指收益率的SWARCH模型的估计结果进行比较,得出以下结论:医疗保健指数收益率序列呈现出低、中、高三种波动状态,样本区间主要分布于中波动状态,低波动状态的平均持续期最长、中波动状态的平均持续期居中、高波动状态的平均持续期最短,医疗保健指数收益率波动杠杆效应显著;我国股市医疗保健板块收益率波动状态之间的差异高于沪深综指波动状态的差异,医疗保健指数收益率与沪深综指收益率区制转移趋同,但存在着细微差异;医疗保健指数收益率各区制间转移相对频繁,每种波动状态的平均持续期较短,股市医疗保健板块收益率对新信息的反应更为敏感。     

Pricing Vulnerable Options with Jump Clustering

This paper presents a valuation of vulnerable European options using a model with self‐exciting Hawkes processes that allow for clustered jumps rather than independent jumps. Many existing valuation models can be regarded as special cases of the model proposed here. Using numerical analyses, this study also performs sensitivity analyses and compares the results to those of existing models for European call options. The results show that jump clustering has a significant impact on the option value. © 2017 Wiley Periodicals, Inc. Jrl Fut Mark     

沪深300指数羊群效应研究

通过研究行为金融学的经典现象——羊群效应,并运用CCK模型和CH模型对沪深300指数成分股的羊群效应进行实证检验。研究发现,在所选的数据区间内,沪深300指数成分股之间的羊群效应现象并不明显;在对上升市和下降市的子样本检验过程中发现,上升市中存在一定的羊群效应,下降市中没有明显的羊群效应现象。     

Realized Volatility Forecast: Structural Breaks,Long Memory,Asymmetry, and Day‐of‐the‐Week Effect

We investigate the properties of the realized volatility in Chinese stock markets by employing the high‐frequency data of Shanghai Stock Exchange Composite Index and four individual stocks from Shanghai Stock Exchange and Shenzhen Stock Exchange, and find that the volatility exhibits the properties of long‐term memory, structural breaks, asymmetry, and day‐of‐the‐week effect. In addition, the structural breaks only partially explain the long memory. To capture these properties simultaneously, we derive an adaptive asymmetry heterogeneous autoregressive model with day‐of‐the‐week effect and fractionally integrated generalized autoregressive conditional heteroskedasticity errors (HAR‐D‐FIGARCH) and use it to conduct a forecast of realized volatility. Compared with other heterogeneous autoregressive realized volatility models, the proposed model improves the in‐sample fit significantly. The proposed model is the best model for the day‐ahead realized volatility forecasts among the six models based on various loss functions by utilizing the superior predictive ability test.     

Unveiling Contemporaneous Relations Between Jump Risk and Cross Section of Stock Returns

This study analyzes the impact of time varying jump risk on aggregate returns. We, in particular, examine the pricing of jump size and intensity components in the cross section of stock returns for four Asian markets. We use stochastic volatility model with jumps to estimate jump size and intensity. Fama–MacBeth regression results indicate that both jump size and intensity have statistically significant effect on expected returns. A one standard deviation increase in jump intensity beta lowers the expected annual returns by 1% for Japan, 2% for China, 5% for India, and 7% for South Korea. The results are consistent even after controlling for the Fama and French three factors, firm size, and liquidity proxies.     

MCMC ESTIMATION OF LÉVY JUMP MODELS USING STOCK AND OPTION PRICES

We examine the performances of several popular Lévy jump models and some of the most sophisticated affine jump‐diffusion models in capturing the joint dynamics of stock and option prices. We develop efficient Markov chain Monte Carlo methods for estimating parameters and latent volatility/jump variables of the Lévy jump models using stock and option prices. We show that models with infinite‐activity Lévy jumps in returns significantly outperform affine jump‐diffusion models with compound Poisson jumps in returns and volatility in capturing both the physical and risk‐neutral dynamics of the S&P 500 index. We also find that the variance gamma model of Madan, Carr, and Chang with stochastic volatility has the best performance among all the models we consider.     

中国证券市场波动的区制关联性

应用单变量和二元向量SW-ARCH模型,本文发现我国证券市场收益率波动具有明显的"区制转移"特征,可以将其分为"高波动"和"低波动"两个区制.在"高波动区制"下,沪深两市间具有明显的波动"溢出"和"传染"特征,市场整体风险强;相反,在"低波动区制"下,市场间主要表现"低系统风险"特征,负相关的波动关联性使证券市场具有较强的风险分散功能和较高的资金配置效率.     

Pricing VIX derivatives with infinite-activity jumps

In this paper, we investigate a two-factor VIX model with infinite-activity jumps, which is a more realistic way to reduce errors in pricing VIX derivatives, compared with Mencía and Sentana (2013), J Financ Econ, 108, 367–391. Our two-factor model features central tendency, stochastic volatility and infinite-activity pure jump Lévy processes which include the variance gamma (VG) and the normal inverse Gaussian (NIG) processes as special cases. We find empirical evidence that the model with infinite-activity jumps is superior to the models with finite-activity jumps, particularly in pricing VIX options. As a result, infinite-activity jumps should not be ignored in pricing VIX derivatives.