已实现波动率收益区间的缩放与记忆

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摘要翻译：
本文对上证综合指数(SSEC)及其22只成分股的1min实现波动率进行了区间分析。在一定阈值$q$以上的连续实现的挥发之间的返回间隔的缩放行为和记忆效应被仔细研究。由于22只股票中有20只股票和SSEC通过Kolmogorov-Smirnov(KS)检验，表现出了伸缩行为，其中8只股票的伸缩函数可用KS拟合优度检验在5%显著性水平下的伸缩指数分布很好地逼近。通过拟合指数$\γ$与阈值$q$之间的关系进一步证实了改进的缩放行为。另外，对于已实现的波动率，不同股票的收益区间分布也有相似性。对条件概率分布的研究和分散波动分析(DFA)表明，在已实现波动率的回报区间内，既存在短期记忆，也存在长期记忆。
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英文标题：
《Scaling and memory in the return intervals of realized volatility》
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作者：
Fei Ren, Gao-Feng Gu, and Wei-Xing Zhou
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最新提交年份：
2009
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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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英文摘要：
  We perform return interval analysis of 1-min {\em{realized volatility}} defined by the sum of absolute high-frequency intraday returns for the Shanghai Stock Exchange Composite Index (SSEC) and 22 constituent stocks of SSEC. The scaling behavior and memory effect of the return intervals between successive realized volatilities above a certain threshold $q$ are carefully investigated. In comparison with the volatility defined by the closest tick prices to the minute marks, the return interval distribution for the realized volatility shows a better scaling behavior since 20 stocks (out of 22 stocks) and the SSEC pass the Kolmogorov-Smirnov (KS) test and exhibit scaling behaviors, among which the scaling function for 8 stocks could be approximated well by a stretched exponential distribution revealed by the KS goodness-of-fit test under the significance level of 5%. The improved scaling behavior is further confirmed by the relation between the fitted exponent $\gamma$ and the threshold $q$. In addition, the similarity of the return interval distributions for different stocks is also observed for the realized volatility. The investigation of the conditional probability distribution and the detrended fluctuation analysis (DFA) show that both short-term and long-term memory exists in the return intervals of realized volatility.
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PDF链接：
https://arxiv.org/pdf/0904.1107

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关键词：波动率 已实现 distribution Quantitative Econophysics return 分析 intervals 收益 实现