意大利市场的波动指数趋于模糊

2017 IEEE International Conference on Fuzzy Systems (FUZZ-IEEE) Pub Date : 2017-07-01 DOI:10.1109/FUZZ-IEEE.2017.8015446

S. Muzzioli, Luca Gambarelli, B. Baets

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引用次数: 4

摘要

波动性的测量在金融领域具有根本性的重要性。计算波动率指数所采用的标准市场惯例要求放弃市场上报价的一些期权价格，这导致了相当大的信息损失。为了克服这一缺点，我们建议采用模糊回归方法，以包括所有可用的信息，并获得意大利股票市场的信息量波动指数。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Towards a fuzzy volatility index for the Italian market

The measurement of volatility is of fundamental importance in finance. The standard market practice adopted for the computation of a volatility index imposes to discard some option prices quoted in the market, resulting in a considerable loss of information. To overcome this drawback, we propose to resort to fuzzy regression methods in order to include all the available information and obtain an informative volatility index for the Italian stock market.

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2017 IEEE International Conference on Fuzzy Systems (FUZZ-IEEE)

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