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Modeling Price and Variance Jump Clustering Using the Marked Hawkes Process 用标记Hawkes过程建模价格和方差跳跃聚类
3区 经济学 Q2 BUSINESS, FINANCE Pub Date : 2023-03-21 DOI: 10.1093/jjfinec/nbad007
Jian Chen, Michael P Clements, Andrew Urquhart
Abstract We examine the clustering behavior of price and variance jumps using high-frequency data, modeled as a marked Hawkes process (MHP) embedded in a bivariate jump-diffusion model with intraday periodic effects. We find that the jumps of both individual stocks and a broad index exhibit self-exciting behavior. The three dimensions of the model, namely positive price jumps, negative price jumps, and variance jumps, impact one another in an asymmetric fashion. We estimate model parameters using Bayesian inference by Markov Chain Monte Carlo, and find that the inclusion of the jump parameters improves the fit of the model. When we quantify the jump intensity and study the characteristics of jump clusters, we find that in high-frequency settings, jump clustering can last between 2.5 and 6 hours on average. We also find that the MHP generally outperforms other models in terms of reproducing two cluster-related characteristics found in the actual data.
摘要本文利用高频数据研究价格和方差跳跃的聚类行为,将其建模为嵌入在具有日内周期效应的二元跳跃-扩散模型中的标记Hawkes过程(MHP)。我们发现个股和大盘指数的跳跃都表现出自激行为。模型的三个维度,即正价格跳跃、负价格跳跃和方差跳跃,以不对称的方式相互影响。利用马尔可夫链蒙特卡罗方法利用贝叶斯推理估计模型参数,发现跳跃参数的加入改善了模型的拟合。当我们量化跳跃强度并研究跳跃簇的特征时,我们发现在高频环境下,跳跃簇的平均持续时间在2.5 - 6小时之间。我们还发现,在再现实际数据中发现的两个集群相关特征方面,MHP通常优于其他模型。
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引用次数: 0
Volatility Forecasting with Machine Learning and Intraday Commonality 波动性预测与机器学习和日内共性
3区 经济学 Q2 BUSINESS, FINANCE Pub Date : 2023-03-20 DOI: 10.1093/jjfinec/nbad005
Chao Zhang, Yihuang Zhang, Mihai Cucuringu, Zhongmin Qian
We apply machine learning models to forecast intraday realized volatility (RV), by exploiting commonality in intraday volatility via pooling stock data together, and by incorporating a proxy for the market volatility. Neural networks dominate linear regressions and tree-based models in terms of performance, due to their ability to uncover and model complex latent interactions among variables. Our findings remain robust when we apply trained models to new stocks that have not been included in the training set, thus providing new empirical evidence for a universal volatility mechanism among stocks. Finally, we propose a new approach to forecasting 1-day-ahead RVs using past intraday RVs as predictors, and highlight interesting time-of-day effects that aid the forecasting mechanism. The results demonstrate that the proposed methodology yields superior out-of-sample forecasts over a strong set of traditional baselines that only rely on past daily RVs.
我们将机器学习模型应用于预测盘中实现波动率(RV),方法是通过将股票数据汇集在一起,利用盘中波动率的共性,并结合市场波动率的代理。由于神经网络能够发现和模拟变量之间复杂的潜在相互作用,因此在性能方面主导线性回归和基于树的模型。当我们将训练好的模型应用于未包含在训练集中的新股票时,我们的发现仍然稳健,从而为股票之间的普遍波动机制提供了新的经验证据。最后,我们提出了一种新的方法来预测1天前的rv,使用过去的日内rv作为预测因子,并强调了有助于预测机制的有趣的时间效应。结果表明,与仅依赖过去每日rv的一组强大的传统基线相比,所提出的方法产生了更好的样本外预测。
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引用次数: 0
Correction to: Score-driven modeling with jumps: An application to S&P500 returns and options 更正:带有跳跃的分数驱动建模:s&p;P500回报和期权的应用程序
3区 经济学 Q2 BUSINESS, FINANCE Pub Date : 2023-02-23 DOI: 10.1093/jjfinec/nbad004
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引用次数: 0
Testing for Alpha in Linear Factor Pricing Models with a Large Number of Securities 具有大量证券的线性因子定价模型的Alpha检验
3区 经济学 Q2 BUSINESS, FINANCE Pub Date : 2023-02-10 DOI: 10.1093/jjfinec/nbad002
M Hashem Pesaran, Takashi Yamagata
Abstract This article considers tests of alpha in linear factor pricing models when the number of securities, N, is much larger than the time dimension, T, of the individual return series. We focus on class of tests that are based on Student’s t-tests of individual securities which have a number of advantages over the existing standardized Wald type tests, and propose a test procedure that allows for non-Gaussianity and general forms of weakly cross-correlated errors. It does not require estimation of an invertible error covariance matrix, it is much faster to implement, and is valid even if N is much larger than T. We also show that the proposed test can account for some limited degree of pricing errors allowed under Ross’s arbitrage pricing theory condition. Monte Carlo evidence shows that the proposed test performs remarkably well even when T = 60 and N = 5000. The test is applied to monthly returns on securities in the S&P 500 at the end of each month in real time, using rolling windows of size 60. Statistically significant evidence against Sharpe–Lintner capital asset pricing model and Fama–French three and five factor models are found mainly during the period of Great Recession (2007M12–2009M06).
摘要本文研究了当证券数量N远大于单个收益序列的时间维度T时,线性因子定价模型的alpha检验。我们专注于基于单个证券的学生t检验的一类测试,这些测试比现有的标准化Wald类型测试具有许多优势,并提出了一个允许非高斯性和一般形式的弱交叉相关误差的测试程序。它不需要估计可逆误差协方差矩阵,实现速度快得多,并且即使N比t大得多也有效。我们还表明,所提出的检验可以解释罗斯套利定价理论条件下允许的一些有限程度的定价误差。蒙特卡罗证据表明,即使在T = 60和N = 5000时,所提出的测试也表现得非常好。该测试应用于标准普尔500指数(s&p 500)每月月底的实时收益率,使用大小为60的滚动窗口。Sharpe-Lintner资本资产定价模型和Fama-French三因素模型和五因素模型的统计显著性证据主要出现在大衰退时期(2007M12-2009M06)。
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引用次数: 1
Dynamic Covariance Matrix Estimation and Portfolio Analysis with High-Frequency Data 动态协方差矩阵估计与高频数据组合分析
IF 2.5 3区 经济学 Q2 BUSINESS, FINANCE Pub Date : 2023-02-10 DOI: 10.1093/jjfinec/nbad003
Binyan Jiang, Cheng Liu, C. Tang
The covariance matrix associated with multiple financial returns plays foundational roles in many empirical applications, for example, quantifying risks and managing investment portfolios. Such covariance matrices are well known to be dynamic, that is, their structures change with the underlying market conditions. To incorporate such dynamics in a setting with high-frequency noisy data contaminated by measurement errors, we propose a new approach for estimating the covariances of a high-dimensional return series. By utilizing an appropriate localization, our approach is designed upon exploiting generic variables that are informative in accounting for the dynamic changes. We then investigate the properties and performance of the high-dimensional minimal-variance sparse portfolio constructed from employing the proposed dynamic covariance estimator. Our theory establishes the validity of the proposed covariance estimation methods in handling high-dimensional, high-frequency noisy data. The promising applications of our methods are demonstrated by extensive simulations and empirical studies showing the satisfactory accuracy of the covariance estimation and the substantially improved portfolio performance.
与多个财务收益相关的协方差矩阵在许多实证应用中起着基础作用,例如量化风险和管理投资组合。众所周知,这种协方差矩阵是动态的,也就是说,它们的结构随着潜在的市场条件而变化。为了将这种动态与受测量误差污染的高频噪声数据相结合,我们提出了一种估计高维回归序列协方差的新方法。通过利用适当的本地化,我们的方法是在利用在考虑动态变化时提供信息的通用变量的基础上设计的。然后,我们研究了利用所提出的动态协方差估计构造的高维最小方差稀疏投资组合的性质和性能。我们的理论证明了所提出的协方差估计方法在处理高维、高频噪声数据时的有效性。大量的模拟和实证研究表明,我们的方法具有良好的应用前景,表明协方差估计的准确性令人满意,并大大提高了投资组合的绩效。
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引用次数: 2
Score-Driven Modeling with Jumps: An Application to S&P500 Returns and Options 带有跳跃的分数驱动模型:标准普尔500指数回报和期权的应用
IF 2.5 3区 经济学 Q2 BUSINESS, FINANCE Pub Date : 2023-02-08 DOI: 10.1093/jjfinec/nbad001
L. Ballestra, Enzo D’Innocenzo, A. Guizzardi
We introduce a novel score-driven model with two sources of shock, allowing for both time-varying volatility and jumps. A theoretical investigation is performed which yields sufficient conditions to ensure stationarity and ergodicity. We extend the model to consider a time-varying jump intensity. Both an in-sample and an out-of-sample analysis based on the S&P500 time series show that the proposed methodology provides excellent agreement with observed returns, outperforming more standard Generalized Autoregressive Contional Heteroskedasticity (GARCH) specifications with jumps. Finally, we apply our models to option pricing via risk neutralization. Results show this novel approach produces reliable implied volatility surfaces. Supplementary Materials including proofs, the derivation of the conditional Fisher information, and two figures showing additional empirical results are available online.
我们引入了一种新的分数驱动模型,该模型具有两个冲击源,同时考虑了时变波动和跳跃。进行了理论研究,得出了确保平稳性和遍历性的充分条件。我们将模型扩展到考虑时变跳跃强度。基于标准普尔500时间序列的样本内和样本外分析都表明,所提出的方法与观察到的收益非常一致,优于更标准的具有跳跃的广义自回归连续异方差(GARCH)规范。最后,我们通过风险中和将我们的模型应用于期权定价。结果表明,这种新方法产生了可靠的隐含波动率表面。补充材料,包括证明,条件Fisher信息的推导,以及显示额外经验结果的两张图,可在线获得。
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引用次数: 1
Test for Trading Costs Effect in a Portfolio Selection Problem with Recursive Utility 具有递归效用的投资组合问题中交易成本效应的检验
IF 2.5 3区 经济学 Q2 BUSINESS, FINANCE Pub Date : 2023-01-01 DOI: 10.54932/bjce8546
M. Carrasco, N’Golo Koné
This paper addresses a portfolio selection problem with trading costs on stock market. More precisely, we develop a simple GMM-based test procedure to test the significance of rading costs effect in the economy with a áexible form of transaction costs. We also propose a two-step procedure to test overidentifying restrictions in our GMM estimation. In an empirical analysis, we apply our test procedures to the class of anomalies used in Novy-Marx and Velikov (2016). We show that transaction costs have a significant effect on investors behavior for many anomalies. In that case, investors significantly improve the out-of-sample performance of their portfolios by accounting for trading costs.
本文研究了股票市场上存在交易成本的投资组合选择问题。更准确地说,我们开发了一个简单的基于gmm的测试程序,以áexible形式的交易成本来测试交易成本效应在经济中的重要性。我们还提出了一个两步程序来测试我们的GMM估计中的过度识别限制。在实证分析中,我们将测试程序应用于Novy-Marx和Velikov(2016)中使用的异常类。我们发现交易成本对许多异常情况下的投资者行为有显著影响。在这种情况下,投资者通过考虑交易成本,显著提高了其投资组合的样本外表现。
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引用次数: 0
Geographic Dependence and Diversification in House Price Returns: The Role of Leverage 房价收益的地域依赖与多元化:杠杆的作用
IF 2.5 3区 经济学 Q2 BUSINESS, FINANCE Pub Date : 2022-12-28 DOI: 10.1093/jjfinec/nbac037
Andréas Heinen, Mi Lim Kim, Malika Hamadi
We analyze the time variation in the average dependence within a set of regional monthly house price index returns in a regime-switching multivariate copula model with a high and a low dependence regime. Using equidependent Gaussian copulas, we show that the dependence of house price returns varies across time with changes in credit market conditions, which reduces the gains from the geographic diversification of real estate and mortgage portfolios. More specifically, we show that a decrease in leverage, measured by the loan-to-value ratio, and to a lesser extent an increase in mortgage rates, are associated with a higher probability of moving to and staying in the high dependence regime.
本文在高、低依赖状态的多变量转换耦合模型中分析了一组区域月度房价指数收益的平均依赖关系的时间变化。利用等相关高斯联结函数,我们发现随着信贷市场条件的变化,房价收益的依赖性随时间而变化,这降低了房地产和抵押贷款组合的地理多样化带来的收益。更具体地说,我们表明,杠杆率的下降(以贷款与价值比率衡量),以及抵押贷款利率在较小程度上的上升,与进入并保持高依赖状态的更高可能性有关。
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引用次数: 0
Dynamic Nonparametric Clustering of Multivariate Panel Data 多元面板数据的动态非参数聚类
IF 2.5 3区 经济学 Q2 BUSINESS, FINANCE Pub Date : 2022-12-15 DOI: 10.1093/jjfinec/nbac038
Igor Custodio João, Julia Schaumburg, A. Lucas, B. Schwaab
We introduce a new dynamic clustering method for multivariate panel data characterized by time-variation in cluster locations and shapes, cluster compositions, and possibly the number of clusters. To avoid overly frequent cluster switching (flickering), we extend standard cross-sectional clustering techniques with a penalty that shrinks observations toward the current center of their previous cluster assignment. This links consecutive cross-sections in the panel together, substantially reduces flickering, and enhances the economic interpretability of the outcome. We choose the shrinkage parameter in a data-driven way and study its misclassification properties theoretically as well as in several challenging simulation settings. The method is illustrated using a multivariate panel of four accounting ratios for 28 large European insurance firms between 2010 and 2020.
本文介绍了一种新的动态聚类方法,用于多变量面板数据,这些数据具有聚类位置和形状、聚类组成以及可能的聚类数量的时变特征。为了避免过于频繁的集群切换(闪烁),我们扩展了标准的横截面聚类技术,并对其进行了惩罚,使观察值缩小到其先前集群分配的当前中心。这将面板中连续的横截面连接在一起,大大减少了闪烁,并增强了结果的经济可解释性。我们以数据驱动的方式选择收缩参数,并在理论上以及在几个具有挑战性的模拟设置中研究其误分类特性。该方法是用多元面板的四个会计比率为28家大型欧洲保险公司在2010年和2020年之间说明。
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引用次数: 0
A Consistent and Robust Test for Autocorrelated Jump Occurrences 自相关跳跃事件的一致性和鲁棒性检验
IF 2.5 3区 经济学 Q2 BUSINESS, FINANCE Pub Date : 2022-08-29 DOI: 10.1093/jjfinec/nbac031
Simon Kwok
We develop a nonparametric test for the temporal dependence of jump occurrences in the population. The test is consistent against all pairwise serial dependence, and is robust to the jump activity level and the choice of sampling scheme. We establish asymptotic normality and local power property for a rich set of local alternatives, including both self-exciting and/or self-inhibitory jumps. Simulation study confirms the robustness of the test and reveals its competitive size and power performance over existing tests. In an empirical study on high-frequency stock returns, our procedure uncovers a wide array of autocorrelation profiles of jump occurrences for different stocks in different time periods.
我们开发了一种非参数检验,用于检验种群中跳跃事件的时间依赖性。该测试对所有成对序列依赖都是一致的,并且对跳跃活动水平和采样方案的选择具有鲁棒性。我们建立了一组丰富的局部选择的渐近正态性和局部幂性质,包括自激励和/或自抑制跳跃。仿真研究证实了该测试的鲁棒性,并揭示了其与现有测试相比具有竞争力的尺寸和功率性能。在高频股票回报的实证研究中,我们的程序揭示了不同股票在不同时间段内跳跃发生的广泛自相关概况。
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引用次数: 0
期刊
Journal of Financial Econometrics
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