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建立了资本市场跳跃检测的数理方法,并用高频数据对上海综指和上海证券市场不同板块八只股票的跳跃情况进行了实证检测.首先,将资本市场的跳跃分为泊松跳跃和列维跳跃,推导和证明了泊松跳跃和列维跳跃检测的统计量.以此理论为基础,再对中国证券市场的泊松跳跃和列维跳跃检测情况进行了实证研究.研究发现:上证综指收益率跳跃比率和其他八只股票收益率跳跃比率相比是最小的;列维跳跃的强度明显高于泊松跳跃的强度.所建立的检测统计量能具体定位哪一个收益率包含泊松跳跃或列维跳跃,具有一定的创新性.
The mathematical method of jump detection in capital market is established, and the jump of eight stocks in different sections of Shanghai Composite Index and Shanghai Stock Market is tested by high-frequency data.Firstly, the jump of capital market is divided into Poisson jump and Levi Jump, derive and prove the statistics of Poisson jump and Levi jump detection.On the basis of this theory, we also carry out an empirical study on Poisson jump and Levi jump detection in China’s stock market.The study found that: the Shanghai Composite Index The yield jump ratio is the smallest compared to the jump ratio of the other eight stock returns; the Levi jump strength is significantly higher than the Poisson jump strength. The established test statistic can specify which yield contains the Poisson jump Or Levi jump, with a certain degree of innovation.