资产组合非等间隔日内在险价值研究  

A Study on the Irregularly Spaced Intraday Value at Risk for the Portfolio Selection

作　　者：鲁万波[1] 陈骋 王建业 CHEN Cheng;LU Wan-bo;WANG Jian-ye(School of Statistics,Southwestern University of Finance and Economics,Sichuan Chengdu 611130,China;Department of Statistics,London School of Economics and Political Science,London,WC2A 2AE,UK)

机构地区：[1]西南财经大学统计学院,四川成都611130 [2]伦敦政治经济学院统计系,英国伦敦WC2A 2AE

出　　处：《数理统计与管理》2019年第6期1104-1118,共15页Journal of Applied Statistics and Management

基　　金：国家自然科学基金面上项目(71771187);国家自然科学基金青年项目(71101118);教育部新世纪优秀人才支持计划项目(NCET-13-0961)的资助;中央高校基本科研业务费专项资金项目(JBK190602)

摘　　要：当前对资产组合在险价值(VaR)的研究仅限于等间隔抽样数据的建模。本文提出资产组合的非等间隔日内在险价值(Irregularly Spaced Intraday Value at Risk,ISIVaR)研究方法,克服资产组合逐笔交易数据非等间隔且不同步问题,利用逐笔交易数据所包含的丰富市场微观结构信息对VaR进行估计。该方法基于更新时间方法将非同步的资产组合标值序列同步化;运用Copula理论建立资产组合的非等间隔日内波动率模型,并捕捉资产组合中各资产在截面上的相关关系;最后利用这种截面相关关系,使用蒙特卡洛模拟技术估计出资产组合的ISIVaR。实证部分利用真实的逐笔交易数据验证了上述方法的有效性。This research first proposed the method to estimate the Irregularly Spaced Intraday Value at Risk(ISIVaR)and solve the problem result from the irregularly spaced and asynchronous multivariate tick-by-tick data.Firstly,this research makes use of the auto correlation duration model to fit the price durations of each single asset in the portfolio.Then,based on the duration,the assets’intraday volatility and ISIVaR is estimated.Next,by Fresh Time method,this research synchronizes the price events sequences of the portfolio.Then,the Copula theory is used to model the irregularly spaced intraday volatility in order to capture the cross-sectional correlation information between the assets in the portfolio.Finally,based on the cross-section correlation,the ISIVaR of the portfolio is estimated by Monte Carlo simulation method.At the end of this research,an empirical study is presented to validate the feasibility of the proposed method.

关 键 词：高频数据 资产组合 非等间隔时间序列 日内在险价值 COPULA 

分 类 号：C81[社会学—统计学] O212[理学—概率论与数理统计]