英文标题：
《A nested factor model for non-linear dependences in stock returns》
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作者：
R\\\'emy Chicheportiche and Jean-Philippe Bouchaud
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最新提交年份：
2013
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英文摘要：
The aim of our work is to propose a natural framework to account for all the empirically known properties of the multivariate distribution of stock returns. We define and study a \"nested factor model\", where the linear factors part is standard, but where the log-volatility of the linear factors and of the residuals are themselves endowed with a factor structure and residuals. We propose a calibration procedure to estimate these log-vol factors and the residuals. We find that whereas the number of relevant linear factors is relatively large (10 or more), only two or three log-vol factors emerge in our analysis of the data. In fact, a minimal model where only one log-vol factor is considered is already very satisfactory, as it accurately reproduces the properties of bivariate copulas, in particular the dependence of the medial-point on the linear correlation coefficient, as reported in Chicheportiche and Bouchaud (2012). We have tested the ability of the model to predict Out-of-Sample the risk of non-linear portfolios, and found that it performs significantly better than other schemes.
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中文摘要：
我们工作的目的是提出一个自然的框架来解释股票收益率多元分布的所有经验已知属性。我们定义并研究了一个“嵌套因子模型”，其中线性因子部分是标准的，但线性因子和残差的对数波动率本身具有因子结构和残差。我们提出了一个校准程序来估计这些对数体积因子和残差。我们发现，虽然相关线性因子的数量相对较大（10个或更多），但在我们对数据的分析中，只有两个或三个对数体积因子出现。事实上，一个只考虑一个对数体积因子的最小模型已经非常令人满意，因为它准确地再现了二元copula的特性，特别是中间点对线性相关系数的依赖，如Chicheportiche和Bouchaud（2012）所述。我们测试了该模型在样本外预测非线性投资组合风险的能力，发现它的性能明显优于其他方案。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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