已实现偏度交易的综合分析

IF 2.8 4区经济学 Q2 BUSINESS, FINANCE

Journal of Futures Markets Pub Date : 2026-08-04 Epub Date: 2026-07-06 DOI:10.1002/fut.70124

Xinfeng Ruan, Pakorn Aschakulporn, Jin E. Zhang

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引用次数: 0

摘要

本文利用分析模型、模拟和经验证据，对已实现的偏度交易进行了全面分析。我们强调了匹配掉期利率的重要性，并在方差和偏度交易中实现了措施。引入了一种新颖的方法，使用与未来一段时间内对数回报的第二和第三时刻挂钩的掉期。我们的研究结果表明，错配主要来自已实现的措施，而不是稳定的掉期利率。我们进一步提出，基于日收益的短期（如1个月）偏度互换可以作为管理已实现跳跃风险的有效工具。

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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A Comprehensive Analysis of Realized Skewness Trading

This paper provides a comprehensive analysis of realized skewness trading, using analytical models, simulations, and empirical evidence. We highlight the importance of matching swap rates and realized measures in variance and skewness trading. A novel approach is introduced, employing swaps tied to the second and third moments of log returns over a future period. Our findings reveal that mismatches arise primarily from realized measures rather than from stable swap rates. We further propose that short-term (e.g., 1 month) skewness swaps, based on daily returns, could serve as effective tools for managing realized jump risks.

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来源期刊

Journal of Futures Markets BUSINESS, FINANCE-

CiteScore

3.70

自引率

15.80%

发文量

期刊介绍： The Journal of Futures Markets chronicles the latest developments in financial futures and derivatives. It publishes timely, innovative articles written by leading finance academics and professionals. Coverage ranges from the highly practical to theoretical topics that include futures, derivatives, risk management and control, financial engineering, new financial instruments, hedging strategies, analysis of trading systems, legal, accounting, and regulatory issues, and portfolio optimization. This publication contains the very latest research from the top experts.