英文标题：
《Analysis of Realized Volatility for Nikkei Stock Average on the Tokyo
Stock Exchange》
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作者：
Tetsuya Takaishi and Toshiaki Watanabe
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最新提交年份：
2017
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英文摘要：
We calculate realized volatility of the Nikkei Stock Average (Nikkei225) Index on the Tokyo Stock Exchange and investigate the return dynamics. To avoid the bias on the realized volatility from the non-trading hours issue we calculate realized volatility separately in the two trading sessions, i.e. morning and afternoon, of the Tokyo Stock Exchange and find that the microstructure noise decreases the realized volatility at small sampling frequency. Using realized volatility as a proxy of the integrated volatility we standardize returns in the morning and afternoon sessions and investigate the normality of the standardized returns by calculating variance, kurtosis and 6th moment. We find that variance, kurtosis and 6th moment are consistent with those of the standard normal distribution, which indicates that the return dynamics of the Nikkei Stock Average are well described by a Gaussian random process with time-varying volatility.
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中文摘要：
我们计算了东京证券交易所日经指数（Nikkei225）的实际波动率，并研究了回报动态。为了避免非交易时间问题对已实现波动率的偏差，我们在东京证券交易所的两个交易日（上午和下午）分别计算了已实现波动率，发现微观结构噪声在小采样频率下降低了已实现波动率。利用已实现波动率作为综合波动率的代理，我们对上午和下午的收益率进行了标准化，并通过计算方差、峰度和六阶矩来研究标准化收益率的正态性。我们发现方差、峰度和六阶矩与标准正态分布的方差、峰度和六阶矩的方差、峰度和六阶矩的方差、峰度和六阶矩的方差、峰度和六阶矩的方差、峰度和六阶矩的方差、峰度和六阶矩的方差、峰度和六阶矩的方差、峰度和六阶矩的方差和六阶矩的标准正态分布的方差、峰度和六阶矩的方差、峰度和六阶矩的六阶矩的方差和六阶矩的方差均符合标准正态分布的方差、峰度和六阶矩的标准正态分布，这表明日经指数的收益率动态特性是一个时变的高斯随机过程。
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分类信息：

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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一级分类：Quantitative Finance 数量金融学
二级分类：Trading and Market Microstructure 交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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