通宵和白天返程的统计分析

是 否 +2 论坛币

k人 参与回答

经管之家送您一份

应届毕业生专属福利!

求职就业群

赵安豆老师微信：zhaoandou666

经管之家联合CDA

送您一个全额奖学金名额~ !

立即领取

感谢您参与论坛问题回答

经管之家送您两个论坛币！

+2 论坛币

摘要翻译：
我们研究了1988-2007年间纽约证交所2215只股票的日总收益率（收盘时）的两个组成部分，即隔夜收益率（收盘时）和日间收益率（开盘时），以及相应的波动性。分析了波动率的尾部分布、序列中的长期记忆性以及不同收益之间的互相关性。我们的研究结果表明：（一）两个成分的收益和挥发具有与总收益和波动率相似的特征。波动率序列的尾部分布服从幂律，波动率序列中存在长期相关关系，而收益序列中不存在长期相关关系。(ii)日间回报对总回报的贡献较大。与隔夜记录相比，日间波动率的尾部分布和长期记忆更类似于总波动率的尾部分布和长期记忆。此外，日间收益率与总收益率的交叉相关性也较强。(iii)两个成分回报趋于反相关。此外，我们发现，在整个20年期间，三种不同收益率（总收益率、隔夜收益率和日间收益率）之间的相互关联是相当稳定的。
---
英文标题：
《Statistical analysis of the overnight and daytime return》
---
作者：
Fengzhong Wang, Shwu-Jane Shieh, Shlomo Havlin, H. Eugene Stanley
---
最新提交年份：
2009
---
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
--

---
英文摘要：
  We investigate the two components of the total daily return (close-to-close), the overnight return (close-to-open) and the daytime return (open-to-close), as well as the corresponding volatilities of the 2215 NYSE stocks from 1988 to 2007. The tail distribution of the volatility, the long-term memory in the sequence, and the cross-correlation between different returns are analyzed. Our results suggest that: (i) The two component returns and volatilities have similar features as that of the total return and volatility. The tail distribution follows a power law for all volatilities, and long-term correlations exist in the volatility sequences but not in the return sequences. (ii) The daytime return contributes more to the total return. Both the tail distribution and the long-term memory of the daytime volatility are more similar to that of the total volatility, compared to the overnight records. In addition, the cross-correlation between the daytime return and the total return is also stronger. (iii) The two component returns tend to be anti-correlated. Moreover, we find that the cross-correlations between the three different returns (total, overnight, and daytime) are quite stable over the entire 20-year period.
---
PDF链接：
https://arxiv.org/pdf/0903.0993

扫码加我 拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

分享0 收藏0 回帖

关键词：统计分析 计分析 distribution volatilities correlations 序列 return long term 分布