论文标题
微型到麦克罗的回报，数量和等待时间
A micro-to-macro approach to returns, volumes and waiting times
论文作者
论文摘要
金融市场中的基本变量不仅是价格和回报，而且通过交易量也可以发挥非常重要的作用。在这里，我们提出了一种新的多元模型，该模型考虑了价格回报，交易量的对数变化以及等待时间，后者旨在作为交易变化，价格和股票数量之间的时间间隔。我们的方法是基于引入内源指数过程的半马尔可夫链的概括。我们还考虑了上述变量之间通过copulae之间的依赖性结构。提出的模型是由经验证据激励的，这些经验证据在金融文献中已知，并且在这项工作中也通过分析2015年8月至2017年8月的意大利股票市场的真实数据来证实，通过使用Monte Carlo模拟，我们表明该模型重现了所有这些经验证据。
Fundamental variables in financial market are not only price and return but a very important role is also played by trading volumes. Here we propose a new multivariate model that takes into account price returns, logarithmic variation of trading volumes and also waiting times, the latter to be intended as the time interval between changes in trades, price, and volume of stocks. Our approach is based on a generalization of semi-Markov chains where an endogenous index process is introduced. We also take into account the dependence structure between the above mentioned variables by means of copulae. The proposed model is motivated by empirical evidences which are known in financial literature and that are also confirmed in this work by analysing real data from Italian stock market in the period August 2015 - August 2017. By using Monte Carlo simulations, we show that the model reproduces all these empirical evidences.
