本文關(guān)鍵詞：量鐘環(huán)境下基于知情交易概率的股票波動(dòng)性研究　出處：《天津大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 量鐘 已實(shí)現(xiàn)波動(dòng) 知情交易概率 量化投資

【摘要】：計(jì)算機(jī)技術(shù)的快速發(fā)展為金融理論與實(shí)務(wù)帶來了強(qiáng)大生命力,直接體現(xiàn)于金融數(shù)據(jù)的指數(shù)增長(zhǎng)模式,也正是在此背景下,基于海量高頻數(shù)據(jù)的金融研究才得以迅速發(fā)展和壯大。本文主要對(duì)基于量鐘的知情交易概率和股票波動(dòng)性之間的引導(dǎo)關(guān)系進(jìn)行研究,其中,基于量鐘的知情交易概率,即VPIN,由Easley、Lopez和O’Hara等人首次提出,是使用高頻數(shù)據(jù)對(duì)市場(chǎng)信息不對(duì)稱程度進(jìn)行動(dòng)態(tài)刻畫的及時(shí)指標(biāo),股票波動(dòng)性則通過Anderson和Bollerslev等人首次提出并發(fā)展至今的已實(shí)現(xiàn)族方差進(jìn)行描述,本文將分別在第三章和第四章對(duì)VPIN和已實(shí)現(xiàn)波動(dòng)的理論體系進(jìn)行詳細(xì)介紹和探討。在對(duì)VPIN和股票波動(dòng)性之間的關(guān)系進(jìn)行實(shí)證研究時(shí),本文得到了以下主要結(jié)論:首先,VPIN能夠?qū)善笔袌?chǎng)的異常波動(dòng)作出提前反應(yīng),即在市場(chǎng)“閃跌”或急速拉升之前大部分個(gè)股的VPIN都會(huì)早于指數(shù)波動(dòng)出現(xiàn)急劇變化;其次,對(duì)各只樣本股票的VPIN序列和未來1天的已實(shí)現(xiàn)族方差序列建立回歸方程,發(fā)現(xiàn)VPIN對(duì)未來波動(dòng)具有顯著解釋作用,且回歸R方普遍接近10%,其中VPIN對(duì)小盤股的解釋作用要強(qiáng)于大盤股;最后,使用VPIN作為選股指標(biāo)可以得到更加低風(fēng)險(xiǎn)的投資組合,本文通過量化技術(shù)構(gòu)建的低VPIN組合已實(shí)現(xiàn)族方差均值相對(duì)高VPIN組合下降幅度超過60%。
[Abstract]:The rapid development of computer technology has brought great vitality to the financial theory and practice, directly reflected in the financial data of the exponential growth model, it is also in this context, the massive financial research based on high frequency data to rapid development and growth. In this paper, on the amount of clock between informed trading probability and stock volatility guide based on the relationship between the probability of informed trading, the amount of clock based on VPIN, by Easley, Lopez and O 'Hara first proposed, is timely indicators dynamic characterization on the market information asymmetry using high frequency data, the fluctuation of the stock market through Anderson and Bollerslev first proposed and has realized family variance this paper will describe, respectively in the third and fourth chapter of VPIN and has achieved the theoretical system of fluctuation are introduced and discussed. The VPIN and stock volatility The relationship between the empirical research, this paper obtained the following conclusions: firstly, VPIN abnormal fluctuations in the stock market to advance in the market reaction, namely flash down or rapidly pulled before most stocks will be earlier than the VPIN volatility index sharply change; secondly, the realization of VPIN sequence of each sample stock and the next 1 days the group variance regression equation, found that VPIN can significantly explain to future volatility, and the return of R generally close to 10%, of which VPIN of small cap stocks than large stocks explained; finally, the use of VPIN as a selection index can be obtained more low risk investments, through quantitative the low VPIN combination has relatively high VPIN group average fell by more than 60%.

【學(xué)位授予單位】：天津大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：TP399-C2;F830.91

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