伊藤半鞅框架下资产价格动态模型的非参数设定检验——基于沪深300股指期货超高频数据的分析  

Nonparametric Model Specification Tests for Asset Price Process under the General Ito Semimartingale Framework——An Empirical Study on CSI 300 Stock Index Futures High-frequency Data

作　　者：杨文昱[1] 马超群[1] 周忠宝[1] 

机构地区：[1]湖南大学工商管理学院,湖南长沙410082

出　　处：《系统工程》2015年第10期108-114,共7页Systems Engineering

基　　金：国家自然科学基金重点资助项目(71431008);湖南省财政厅项目

摘　　要：模型设定检验是诊断资产价格动态过程模型误差的主要手段,对于动态投资组合优化、衍生品定价、风险管理等金融决策至关重要。本文采用非参数模型设定检验方法在伊藤半鞅框架下研究沪深300股指期货价格过程。基于沪深300股指期货超高频价格数据的实证结果表明,沪深300股指期货价格过程包含扩散项、有限活动跳跃项以及无限活动跳跃项。该结论对于以沪深300股指期货为工具的风险对冲和高频交易等投资活动以及以沪深300股指期货为标的资产的衍生品设计有重要指导意义。Model specification tests are among the most important measures to diagnose model error of dynamic asset processes, which plays a crucial role in many quantitative financial decisions, such as dynamic optimal portfolio formation, derivatives pricing and risk management. Under the general Ito semimartingale framework, nonparametric model specification tests are implemented with the help of ultrahigh frequency price data for CSI 300 Stock Index Futures. Empirical results show that the price process of CSI 300 Stock Index Futures contains diffusion process, finite activity jump process and infinite activity jump process as its components. These results have important implications for investors＇ hedge activity and high frequency trading with CSI 300 Stock Index Futures, and the design of derivatives of CSI 300 Stock Index Futures.

关 键 词：模型设定检验 伊藤半鞅 门限已实现幂次变差 超高频数据 股指期货 

分 类 号：F830[经济管理—金融学]