流动性跃迁、流动性扩散和具有极端流动性的资产组合

arXiv - QuantFin - Statistical Finance Pub Date : 2024-03-30 DOI:arxiv-2407.00813

Qi Deng, Zhong-guo Zhou

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引用次数: 0

摘要

我们建立了一个加密资产组合模型，由于极端流动性导致条件协方差矩阵和后协方差矩阵的不连续性，该模型对多元自回归模型的响应不佳。我们用流动性调整资产级收益率和波动率，以减少这种不连续性，并恢复了一套流动性调整的 VECM-DCC/ADCC-BL 模型在极端流动性下的有效性。我们建立了两种独特但互补的投资组合流动性度量方法：投资组合流动性跳跃度量方法可量化流动性调整在预测条件协方差矩阵中的影响，而投资组合流动性扩散度量方法可量化流动性调整在估计后协方差矩阵中的影响。

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Liquidity Jump, Liquidity Diffusion, and Portfolio of Assets with Extreme Liquidity

We model a portfolio of crypto assets that does not respond well to multivariate autoregressive models because of discontinuity in conditional covariance matrix and posterior covariance matrix caused by extreme liquidity. We adjust asset-level return and volatility with liquidity to reduce such discontinuity, and restore the effectiveness of a set of liquidity-adjusted VECM-DCC/ADCC-BL models at extreme liquidity. We establish two distinctive yet complementary portfolio liquidity measures: portfolio liquidity jump that quantifies the effect of liquidity adjustment in forecasting the conditional covariance matrix, and portfolio liquidity diffusion that quantifies the effect of liquidity adjustment in estimating the posterior covariance matrix.

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arXiv - QuantFin - Statistical Finance

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