On spatial contagion and multivariate GARCH models

We propose a method for defining and measuring spatial contagion between two financial markets via conditional copulas. Some theoretical results on monotonicity and asymptotic properties of Gaussian copulas with respect to conditioning are presented. Next, we combine the spatial contagion approach with time series models. We investigate which model from a large family of multivariate GARCH is the best tool for modelling spatial contagion. In an empirical study, we show that among models designed for general fit, a two‐step model fitting procedure reduces the ability to describe the contagion effect. This is a feature of copula‐GARCH models. Copyright © 2013 John Wiley & Sons, Ltd.     

基于时变SJC-Copula对商品期货市场间风险传染的探究

分别选取WIND商品指数和CRB指数作为衡量我国商品期货市场及国际商品期货市场综合价格的指标,利用时变SJC-Copula模型构建两者之间的动态相依结构,通过动态的尾部相关系数来探究我国商品期货市场与国际市场间的尾部相关性.实证结果表明,我国商品期货市场与国际市场间的上尾相关性要强于下尾相关性,即当商品期货价格上涨时,两个市场间更易发生风险传染.     

On the origin of the Epps effect

The Epps effect, the decrease of correlations between stock returns for short time windows, was traced back to the trading asynchronicity and to the occasional lead-lag relation between the prices. We study pairs of stocks where the latter is negligible and confirm the importance of asynchronicity but point out that alone these aspects are insufficient to give account for the whole effect.     

我国上市公司财务状况的非线性主成分分析研究

文章通过对我国上市公司的财务指标进行综合分析 ,构建了我国上市公司财务状况综合分析的非线性主成分分析模型 ,并应用该模型对上市公司财务状况进行了合理的评价 .     

Triangular arbitrage as an interaction among foreign exchange rates

We first show that there are in fact triangular arbitrage opportunities in the spot foreign exchange markets, analyzing the time dependence of the yen–dollar rate, the dollar–euro rate and the yen–euro rate. Next, we propose a model of foreign exchange rates with an interaction. The model includes effects of triangular arbitrage transactions as an interaction among three rates. The model explains the actual data of the multiple foreign exchange rates well.     

A path integral way to option pricing

An efficient computational algorithm to price financial derivatives is presented. It is based on a path integral formulation of the pricing problem. It is shown how the path integral approach can be worked out in order to obtain fast and accurate predictions for the value of a large class of options, including those with path-dependent and early exercise features. As examples, the application of the method to European and American options in the Black–Scholes model is illustrated. A particularly simple and fast semi-analytical approximation for the price of American options is derived. The results of the algorithm are compared with those obtained with the standard procedures known in the literature and found to be in good agreement.     

Components of multifractality in high-frequency stock returns

We analyzed multifractal properties of 5-min stock returns from a period of over two years for 100 highly capitalized American companies. The two sources: fat-tailed probability distributions and non-linear temporal correlations, vitally contribute to the observed multifractal dynamics of the returns. For majority of the companies the temporal correlations constitute a much more significant related factor, however.     

Optimal trading strategy for European options with transaction costs

The European option with transaction costs is studied. The cost of making a transaction is taken to be proportional by a factor λ to the value (in dollars) of stock traded. When there are no transaction costs (i.e. when λ=0) the well-known Black-Scholes strategy tells how to hedge the option. Since no non-trivial perfect hedging strategy exists when λ>0 (see (Ann. Appl. Probab. 5(2) (1995) 327)), we instead try to maximize the expected utility attainable. We seek to understand the effect transaction costs have on the maximum attainable expected utility over all strategies, when λ is small but non-zero. It turns out that transaction costs diminish the expected utility by an amount which has the order of magnitude λ^2/3. We will compute that correction explicitly modulo an error which is small compared to λ^2/3. We will exhibit an explicit strategy whose expected utility differs from the maximum attainable expected utility by an error small in comparison to λ^2/3.     

负二项分布的优良特性及其在风险管理中的应用

孟生旺．负二项分布的优良特性及其在风险管理中的应用．数理统计与管理，１９９８，１７（２），９～１２．负二项分布之所以在风险管理中被广泛应用是由其优良特性所决定的。本文主要讨论了其中三个方面的问题：第一，负二项分布在描述风险集体中任意风险的索赔次数时表现为伽玛分布对泊松分布按参数变化的加权平均；第二，负二项分布在描述某些风险的累积索赔额时具有复合泊松分布的形式；第三，负二项分布是当风险的索赔频率强度之间存在正向传染时索赔次数的分布