价格过程跳跃强度的长记忆

Yizhuang Tian, Dongyang Shi, Handong Li
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摘要

价格过程的连续跳跃对波动性的影响是非常重要的。本文利用中国股票市场的数据研究了价格过程中自我激励的性质。我们的实证结果表明:1)中国股市的价格上涨总体上是自我激励的,即价格上涨是聚类的。2)中国股市的跳跃强度是时变的,服从对数正态分布,表明跳跃强度是不对称的。3)跳跃强度序列表现出典型的长记忆。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
The Long Memory of the Jump Intensity of the Price Process
The impact of successive jumps in price process on volatility is very important. We study the nature of self-motivation in price process using data from China’s stock market. Our empirical results suggest that: 1) Price jumps in China’s stock market are generally self-motivated, i.e., price jumps are clustering. 2) The jump intensity of China’s stock market is time-varying, and follows log-normal distribution, which indicates that the jump intensity is asymmetrical. 3) The jump intensities’ sequence exhibits typical long memory.
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