论文标题
金融市场中连续随机级联流程的模型
Model of continuous random cascade processes in financial markets
论文作者
论文摘要
本文介绍了一个连续的级联模型，该模型的波动率模型为随机微分方程。引入了两个独立的布朗运动，作为触发波动性级联的随机来源。一个倍增与波动率结合；另一个这样做。假设后者在系统上作用，则模型参数是通过应用于实际股票价格序列估算的。使用参数的估计值进行了源自随机微分方程的fokker- planck方程的数值计算。结果重现了经验波动率，时间序列的多种纹理以及其他经验事实的PDF。
This article present a continuous cascade model of volatility formulated as a stochastic differential equation. Two independent Brownian motions are introduced as random sources triggering the volatility cascade. One multiplicatively combines with volatility; the other does so additively. Assuming that the latter acts perturbatively on the system, then the model parameters are estimated by application to an actual stock price time series. Numerical calculation of the Fokker--Planck equation derived from the stochastic differential equation is conducted using the estimated values of parameters. The results reproduce the pdf of the empirical volatility, the multifractality of the time series, and other empirical facts.
