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摘要翻译：
由于交换经济在市场资产中的变化很大，资产价格已经成为研究和建模当今市场中模糊和不确定信息的一个有吸引力的研究领域。基于贝叶斯推理和相关熵(BIC)技术，提出了一种新的生成不确定性机制，用于准确评估市场中的资产定价。这种技术以可控的方式检验市场信息的风险、模糊性和变化的潜在过程。我们将新的BIC技术应用于消费资产定价模型，在此模型中，通过观察数据中资产定价现象的动态变化，使用贝叶斯网络模型对消费变化进行建模。这些动态包括价格的顺周期偏差、股票价格波动率和股票波动率的逆周期偏差、杠杆影响和超额收益的均值回归。主要研究结果表明，对资产信息的精确建模可以有效地估计市场中的价格变化。
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英文标题：
《Accurate Evaluation of Asset Pricing Under Uncertainty and Ambiguity of
Information》
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作者：
Farouq Abdulaziz Masoudy
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最新提交年份：
2018
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：General Finance 一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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一级分类：Economics 经济学
二级分类：Econometrics 计量经济学
分类描述：Econometric Theory, Micro-Econometrics, Macro-Econometrics, Empirical Content of Economic Relations discovered via New Methods, Methodological Aspects of the Application of Statistical Inference to Economic Data.
计量经济学理论，微观计量经济学，宏观计量经济学，通过新方法发现的经济关系的实证内容，统计推论应用于经济数据的方法论方面。
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英文摘要：
Since exchange economy considerably varies in the market assets, asset prices have become an attractive research area for investigating and modeling ambiguous and uncertain information in today markets. This paper proposes a new generative uncertainty mechanism based on the Bayesian Inference and Correntropy (BIC) technique for accurately evaluating asset pricing in markets. This technique examines the potential processes of risk, ambiguity, and variations of market information in a controllable manner. We apply the new BIC technique to a consumption asset-pricing model in which the consumption variations are modeled using the Bayesian network model with observing the dynamics of asset pricing phenomena in the data. These dynamics include the procyclical deviations of price, the countercyclical deviations of equity premia and equity volatility, the leverage impact and the mean reversion of excess returns. The key findings reveal that the precise modeling of asset information can estimate price changes in the market effectively.
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PDF链接：
https://arxiv.org/pdf/1801.06966
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