金融市场自旋模型中的已实现波动率分析

T. Takaishi
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引用次数: 3

摘要

我们计算了金融市场自旋模型中的已实现波动率,并检验了以已实现波动率标准化的收益。我们发现标准化收益的矩与标准正态变量的理论值一致。这是第一个证明自旋金融市场的回报动态与混合分布假说的观点一致的证据,这种观点也适用于真实的金融市场。
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Realized Volatility Analysis in A Spin Model of Financial Markets
We calculate the realized volatility in the spin model of financial markets and examine the returns standardized by the realized volatility. We find that moments of the standardized returns agree with the theoretical values of standard normal variables. This is the first evidence that the return dynamics of the spin financial market is consistent with the view of the mixture-of-distribution hypothesis that also holds in the real financial markets.
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