交易行为可作为价格波动的先行指标吗?——基于线性与非线性模型的比较研究

本文基于沪深300股指期货四个不同样本期的1分钟交易数据,比较研究了静态线性的马尔可夫转换自回归模型MSA(Markov Switch Autoregress Model)和动态非线性Symmetrised Joe-Clayton Copula模型在对金融变量间相互关系上建模的适用性。研究结果表明,当期价格波动与滞后一期交易行为间不存在稳定的线性关系,但存在明显的尾部相关结构,并且其相关性在趋势行情中尤为显著。这一结果不但表明,趋势行情中滞后一期的交易行为可以作为当期价格波动的先行指标,还展现出了非线性Copula模型在描述金融变量间的相互关系上的适用性和显著优势。     

����Copula������Ӧ��-ǿ��ģ�Ϳɿ��ȵķDz�������

In this paper, a nonparametric method for reliability of the stress-strength model is proposed when the dependent stress variable and strength variable are subject to right censoring. The dependence between variables is measured by the common Farlie-Gumbel-Morgenstern copula function and Clayton copula function. Using the empirical process theory, consistency and asymptotic normality of the proposed estimator is established in this paper. The results of numerical simulation show that the proposed method performs well in the case of finite sample. The method proposed in this paper has a wide application prospect in practice.     

二元Schur凹copula的次对角部分

任意给定一个二元Schur 凹copula, 结合其自身和次对角部分, 利用取大和取小运算, 构造了一类新copula, 使得次对角部分相互重合, 讨论了新copula 的Schur 凹性与Schur 几何凹性.     

Degradation modeling of 2 fatigue‐crack growth characteristics based on inverse Gaussian processes: A case study

Most modern products that are highly reliable are complex in their inner and outer structures. This situation indicates quality characterization by the interaction of multiple performance characteristics, which motivates the utilization of robust reliability models to obtain robust estimates. It is paramount to obtaining substantial information about a product's life cycle; therefore, when multiple performance characteristics are dependent, it is important to find models that address the joint distribution of performance degradation of such. In this paper, a reliability model for products with 2 fatigue‐crack growth characteristics related to 2 degradation processes is developed. The proposed model considers the dependence among degradation processes by using copula functions considering the marginal degradation processes as inverse Gaussian processes. The statistical inference is performed by using a Bayesian approach to estimate the parameters of the joint bivariate model. A time‐scale transformation is considered to assure monotone paths of the degradation trajectories. The comparison results of the reliability analysis, under both dependent and independent assumptions, are reported with the implementation of the proposed modeling in a case study, which consists of the crack propagation data of 2 terminals of an electronic device.     

Bayesian Copulae Distributions, with Application to Operational Risk Management

The aim of this paper is to introduce a new methodology for operational risk management, based on Bayesian copulae. One of the main problems related to operational risk management is understanding the complex dependence structure of the associated variables. In order to model this structure in a flexible way, we construct a method based on copulae. This allows us to split the joint multivariate probability distribution of a random vector of losses into individual components characterized by univariate marginals. Thus, copula functions embody all the information about the correlation between variables and provide a useful technique for modelling the dependency of a high number of marginals. Another important problem in operational risk modelling is the lack of loss data. This suggests the use of Bayesian models, computed via simulation methods and, in particular, Markov chain Monte Carlo. We propose a new methodology for modelling operational risk and for estimating the required capital. This methodology combines the use of copulae and Bayesian models.      

基于混合Copula模型的投资组合风险分析

金融市场或股票之间的相关关系变化灵活多样,针对现实中往往需要考虑的是多个市场、股票的结构,采用Mixture-Copula模型来分析多元市场的相关性结构,进而构建了Multivariate-GARCH-Mixture-Copula,模型,并选取2002年1月1日至2011年12月31日上证工业指数、商业指数、地产指数三个行业指数序列的2425组数据利用该模型进行实证分析.分析表明,Multivariate-GARCH-Mixture-Copula模型能有效地应用于实际金融市场潜在结构的分析,对投资组合的风险研究有一定的参考意义.     

相关性失效下的零部件重要度统计评价

重要度评价在可靠性工程中有着举足轻重的地位,是产品可靠性设计的基础.分别研究了在相依部件系统中的部件可靠性重要度与结构重要度.采用多维Copula函数拟合多部件之间的相依结构,从各类型重要度的刻画角度,经过一系列的数学处理,建立相应的相关性失效下零部件重要度评价模型.对于复杂且实用的k/n(G)系统,运用可靠度计算与结构函数表征之间的等效映射来对相关性失效下的三类重要度评价进行建模.     

Applying copula models to individual claim loss reserving methods

The estimation of loss reserves for incurred but not reported (IBNR) claims presents an important task for insurance companies to predict their liabilities. Recently, individual claim loss models have attracted a great deal of interest in the actuarial literature, which overcome some shortcomings of aggregated claim loss models. The dependence of the event times with the delays is a crucial issue for estimating the claim loss reserving. In this article, we propose to use semi-competing risks copula and semi-survival copula models to fit the dependence structure of the event times with delays in the individual claim loss model. A nonstandard two-step procedure is applied to our setting in which the associate parameter and one margin are estimated based on an ad hoc estimator of the other margin. The asymptotic properties of the estimators are established as well. A simulation study is carried out to evaluate the performance of the proposed methods.     

对称Bernstein Copula

主要介绍对称Bernstein Copula的一些性质及其应用.它除了具有Copula函数的基本性质外,还有其特殊性质,以定理的形式给出并加以证明.对称Bernstein Copula属于多参数Copula族,可以应用到很多领域,比如股票、汇率、证券等等.