Statistical Analysis of Financial Markets

金融市场统计分析

• 批准号: 36358-2013
• 负责人: Knight, John
• 金额: $ 1.09万
• 依托单位: University of Western Ontario
• 依托单位国家: 加拿大
• 项目类别: Discovery Grants Program - Individual
• 财政年份: 2015
• 资助国家: 加拿大
• 起止时间: 2015-01-01 至 2016-12-31
• 项目状态: 已结题
• 来源: https://www.nserc-crsng.gc.ca/ase-oro/Details-Detailles_eng.asp?id=568722
• 关键词: Statistical; Analysis; Financial; Markets

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.

这项研究将延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： A)泊松驱动的市场模型 B)用于建模波动率的阈值模型的性质。 3)财务预测能力评估。 D)与投资组合优化有关的事后效用。 A)近年来，越来越多的高频金融数据的可获得性导致了大量的实证研究。然而，很少有论文发展理论模型来解释观测数据的演变。我提议的研究旨在开发基于泊松过程的替代理论模型，以解释荷兰双盲拍卖和限制订单金融市场的工作原理。 B)门限模型对于模拟制度变化和金融波动性非常有用。本研究旨在检验GARCH和随机波动率等金融波动性门限模型的统计特性。 C)财务预测能力的评估是一项非常真实、实用和相关的任务。从业者通常使用所谓的命中率，即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，本研究的目的是检验命中率的统计特性及其与预报和观测之间的相关性。 D)事后效用在经济学中讨论很多，但其计量经济学性质很少被研究。本研究的目的就是探讨与投资组合优化相关的问题。