數(shù)理統(tǒng)計在金融學(xué)中的應(yīng)用專題講座-wenkub
2023-03-29 21:52:15 本頁面
【正文】 司的金融工程團(tuán)隊(duì)日益壯大 ? 我國市場上數(shù)量化投資方法少，存在很大挖掘機(jī)會的空間 ? 2023年 4月 16日，我國股指期貨正式推出，提供了新的投資工具，為量化投資打開新空間 ? 借助股指期貨可以實(shí)現(xiàn)市場風(fēng)險的分割、轉(zhuǎn)移和重新組合，構(gòu)建出多樣化投資產(chǎn)品，滿足不同風(fēng)險偏好的投資者 ? 對美國來說，金融產(chǎn)品過度發(fā)展脫離實(shí)體經(jīng)濟(jì)需要是導(dǎo)致金融危機(jī)的重要原因；但對我國來說，金融產(chǎn)品還遠(yuǎn)遠(yuǎn)不能滿足需要 ? 量化投資將拓寬投資界視野，豐富金融生態(tài)，推動我國投資管理邁上新臺階 衍生品推出打開量化投資新空間 金融物理 Why do we need Econophysics? 金融物理 What is Econophysics? What is Econophysics? What do Econophysicists study? Discovery of stylized facts Construction of microscopic models Financial Market . “fattail” distribution, longrange volatility correlation, and etc. . percolation model, Minority Games, and other agentbased model. . price prediction, trading rule design, risk management, and etc. Modeling and prediction of financial bubbles Case1: US house bubble (20232023) Case2: Crude Oil Bubble (20232023) Recurrence interval of price returns ? Return ? Return interval of price returns ( ) l n( ( ) ) l n( ( 1 ) )R t Y t Y t? ? ?1 / 222()()( ) ( )RtrtR t R t??????1q?? 1q???PDF of recurrence interval of price returns ? Scaling or not ? ? Formula of the function f ? Shanghai Stock Exchange Composite Index (SSEC) Shenzhen Stock Exchange Composite Index (SSEC) It’s application to risk estimation Probability Wq(Δt|t) m in()( | ) ( 1 ) / ,()ttqtq
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