发帖
雷达卡
摘要翻译：
将标普指数高频收益率的日内序列看作一个给定随机过程的每日实现，我们首先证明了集合收益率分布的标度性质可以用来定义一个鞅随机模型，该模型在每个交易日上午一致地复制标准普尔500高频数据的条件预期。然后，上述缩放属性的一个更一般的公式允许将模型扩展到下午的交易时段。最后，我们概述了一个应用，其中条件预测用于实现趋势跟踪交易策略，能够利用线性相关性存在于S&P数据集和不存在于模型。交易信号是基于模型的，而不是从宪章标准中推导出来的。样本内和样本外的检验表明，基于模型的交易策略比基于非对称GARCH过程的基准交易策略表现更好，并表明存在较小的套利机会。我们指出，在没有线性相关性的情况下，交易利润将消失，并讨论了为什么交易策略对对冲基于标准普尔指数的产品的波动性风险有潜在的意义。
---
英文标题：
《Ensemble properties of high frequency data and intraday trading rules》
---
作者：
Fulvio Baldovin, Francesco Camana, Massimiliano Caporin, Michele
Caraglio, Attilio L. Stella
---
最新提交年份：
2013
---
分类信息：
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
--
一级分类：Physics 物理学
二级分类：Statistical Mechanics 统计力学
分类描述：Phase transitions, thermodynamics, field theory, non-equilibrium phenomena, renormalization group and scaling, integrable models, turbulence
相变，热力学，场论，非平衡现象，重整化群和标度，可积模型，湍流
--
---
英文摘要：
Regarding the intraday sequence of high frequency returns of the S&P index as daily realizations of a given stochastic process, we first demonstrate that the scaling properties of the aggregated return distribution can be employed to define a martingale stochastic model which consistently replicates conditioned expectations of the S&P 500 high frequency data in the morning of each trading day. Then, a more general formulation of the above scaling properties allows to extend the model to the afternoon trading session. We finally outline an application in which conditioned forecasting is used to implement a trend-following trading strategy capable of exploiting linear correlations present in the S&P dataset and absent in the model. Trading signals are model-based and not derived from chartist criteria. In-sample and out-of-sample tests indicate that the model-based trading strategy performs better than a benchmark one established on an asymmetric GARCH process, and show the existence of small arbitrage opportunities. We remark that in the absence of linear correlations the trading profit would vanish and discuss why the trading strategy is potentially interesting to hedge volatility risk for S&P index-based products.
---
PDF链接：
https://arxiv.org/pdf/1202.2447
京公网安备 11010802022788号
