Statistical Analysis of Financial Markets

这项研究将继续我对金融计量经济学的兴趣。特别是，它将通过统计分析研究金融市场的几个广泛方面： 泊松驱动的市场模型 B）波动率阈值模型的性质。 （三）财务预测能力评估。 d）与投资组合优化相关的事后效用。 近年来，越来越多的高频金融数据的可用性导致了大量的实证研究。然而，很少有论文开发理论模型来解释观测数据的演变。我提出的研究目的是开发替代理论模型，泊松过程的基础上，来解释双盲荷兰式拍卖和限价订单金融市场的运作。 B）阈值模型对于模拟制度变迁和金融波动是非常有用的。本研究旨在考察金融波动阈值模型的统计方面，如GARCH和随机波动。 c）财务预测能力的评估是一项非常真实的实用和相关的任务。从业者经常使用所谓的命中率，定义为预测者正确预测未来资产回报迹象的概率。在现实的非正常情况下，本研究旨在研究命中率的统计特性及其与预测和观察之间的相关性。 d）事后效用在经济学中讨论得很多，但很少研究其计量经济学性质。本研究的目的是追求这样一个调查有关的投资组合优化。

This research will continue my interest in financial econometrics. In particular it will examine via statistical analysis several broad aspects of financial markets: a) Poisson driven market models b) The properties of threshold models for modeling volatility. c) Assessment of financial forecasting ability. d) Ex-post utility in relation to portfolio optimization. a) The availability of more and more high frequency financial data, in recent years, has resulted in a large number of empirical studies. However, there are very few papers developing theoretical models explaining the evolution of the observed data. My proposed research aims to develop alternative theoretical models, based on Poisson processes, to explain the workings of double blind Dutch auctions and limit order financial markets. b) Threshold models are very useful for modeling regime changes and hence financial volatility.This research aims to examine statistical aspects of threshold models for financial volatility such as GARCH and Stochastic Volatility. c) The assessment of financial forecasting ability is a very real practical and relevant task. Practitioners often use what is known as the Hit Rate, defined as the probability that the forecaster correctly forecasts the sign of the future asset return. In realistic non-normal situations this research aims to examine the statistical properties of the hit rate and its relationship to the correlation between the forecast and the observed. d) Ex-post utility is much discussed in economics but its econometric properties are rarely investigated. The aim of this research is to pursue such an investigation in relation to portfolio optimization.