发帖
雷达卡
摘要翻译：
本文研究了S&P500股票指数日内波动性与财务收益序列相关性的关系。在日和周水平上，序列相关性和波动率已知为负相关（LeBaron效应）。在确认LeBaron效应在日内水平上也成立的同时，我们超越了它，并用异质市场超热（波动性）来补充有效市场超热（回报），我们检验了非预期波动性（定义为波动性中不可预测的部分）对时间序列中序列相关性存在的影响。我们发现，非预期波动率与日内序列相关呈正相关。
---
英文标题：
《Serial correlation and heterogeneous volatility in financial markets:
beyond the LeBaron effect》
---
作者：
Simone Bianco, Fulvio Corsi, Roberto Reno'
---
最新提交年份：
2008
---
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
--
一级分类：Physics 物理学
二级分类：Physics and Society 物理学与社会
分类描述：Structure, dynamics and collective behavior of societies and groups (human or otherwise). Quantitative analysis of social networks and other complex networks. Physics and engineering of infrastructure and systems of broad societal impact (e.g., energy grids, transportation networks).
社会和团体（人类或其他）的结构、动态和集体行为。社会网络和其他复杂网络的定量分析。具有广泛社会影响的基础设施和系统（如能源网、运输网络）的物理和工程。
--
---
英文摘要：
We study the relation between serial correlation of financial returns and volatility at intraday level for the S&P500 stock index. At daily and weekly level, serial correlation and volatility are known to be negatively correlated (LeBaron effect). While confirming that the LeBaron effect holds also at intraday level, we go beyond it and, complementing the efficient market hyphotesis (for returns) with the heterogenous market hyphotesis (for volatility), we test the impact of unexpected volatility, defined as the part of volatility which cannot be forecasted, on the presence of serial correlations in the time series. We show that unexpected volatility is instead positively correlated with intraday serial correlation.
---
PDF链接：
https://arxiv.org/pdf/0810.4912
京公网安备 11010802022788号
