英文标题：
《Realized Volatility Analysis in A Spin Model of Financial Markets》
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作者：
Tetsuya Takaishi
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最新提交年份：
2015
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英文摘要：
We calculate the realized volatility in the spin model of financial markets and examine the returns standardized by the realized volatility. We find that moments of the standardized returns agree with the theoretical values of standard normal variables. This is the first evidence that the return dynamics of the spin financial market is consistent with the view of the mixture-of-distribution hypothesis that also holds in the real financial markets.
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中文摘要：
我们计算了金融市场自旋模型中的已实现波动率，并检验了已实现波动率标准化的回报率。我们发现标准化收益的矩与标准正态变量的理论值一致。这是第一个证据表明，自旋金融市场的收益动态与真实金融市场中同样适用的混合分布假说的观点一致。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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