考虑非同步交易影响的金融高频协方差阵的估计及应用  

Estimation and Application Study on Covariance Matrix of High Frequency Data Considering the Effect of Nonsynchronous Transaction

作　　者：刘丽萍[1] 唐晓彬 余孝军[1] LIU Li-ping;TANG Xiao-bin;YU Xiao-jun(School of Mathematics and Statistics,Guizhou University of Finance and Economics,Guiyang 550025,China;School of Statistics,University of Finance and Economics,Beijing 100029,China)

机构地区：[1]贵州财经大学数学与统计学院,贵州贵阳550025 [2]对外经济贸易大学统计学院,北京100029

出　　处：《系统工程》2018年第9期59-66,共8页Systems Engineering

基　　金：国家社会科学基金资助项目(16CTJ013);国家自然科学基金资助项目(71761005);2018全国统计科学研究项目(2018339);贵州省教育厅青年科技人才成长项目(黔教合KY字[2018]160)

摘　　要：在大数据时代,高维高频金融数据的协方差阵在投资组合中扮演着重要角色。但当高维资产的交易频率存在显著差异时,非同步交易会导致"Epps"效应,严重影响协方差阵的估计效率。本文将结构矩阵填充模型(SMC)与VAR-LASSO模型相结合,建立SMC-VAR-LASSO模型来估计和预测高维高频数据的协方差阵。该模型将资产按照交易频率的高低分组,避免直接估计和预测所有资产间以及交易频率低的资产间的协方差阵,在解决非同步交易问题的同时,大大降低了数据损失量,提高了协方差阵的估计效率。将SMC-VAR-LASSO模型应用在投资组合中,并将其与VAR-LASSO模型进行比较后,发现:SMC-VAR-LASSO模型在投资组合中的应用效果更好,其提高了投资者的收益和经济效用,降低了风险。In the era of big data,Covariance of High-dimensional&high frequency financial data plays an important role in the portfolio.But when the transaction frequency of high-dimensional assets is significantly different,asynchronous transaction will lead to"Epps"effect,which seriously affects the estimation efficiency of covariance matrix.In this paper,structured matrix completion(SMC)model and VAR-LASSO model are combined,and the SMC-VAR-LASSO model is established to estimate and predict the covariance matrix of large dimensional high frequency data.The model divides the assets into groups according to the frequency of the transaction,and avoids estimating and predicting of covariance matrix between all assets and low trading assets directly,it not only solves the problem of asynchronous transaction,but also greatly reduces the amount of data loss and improves the estimation efficiency of covariance matrix.We apply the SMC-VAR-LASSO model in portfolio,and compare it with VAR-LASSO model,we find that the SMC-VAR-LASSO model has better performance in the portfolio,which improves the investor’s income and reduces the risk.

关 键 词：金融高频协方差阵 SMC-VAR-LASSO模型 非同步交易 刷新时间策略 

分 类 号：F222[经济管理—国民经济]