隐含高阶协矩:提

发布时间：2018-07-28 08:22

【摘要】：在多资产投资组合的分析框架中,除单资产的收益及波动率等高阶矩外,协偏度以及协峰度等高阶协矩亦是不可忽视的系统性风险度量。本文借鉴Bakshi等(2003)等文献的研究框架,利用台湾期权市场数据提取隐含高阶总矩、隐含协矩和隐含特质矩,探讨其各自对相关已实现矩的预测效果;并进一步构建协矩交易策略。结果表明:相较偏度及峰度,隐含波动率与实际波动率走势及统计特征均更为一致。协偏度、协峰度的波动相比协方差要剧烈得多。引入多市场信息的预测效果要优于单独采用某一市场信息的效果。协矩交易策略方面:历史矩与隐含矩信息在组合构建的差异主要体现在偏度与峰度等更高阶矩上。历史协方差与协偏度在市场趋稳时期表现相对较佳;隐含协矩的优势在于策略构建的稳健性更好。期权市场信息的有效反映取决于市场的成熟、演进及交易活跃度的提升。
[Abstract]:In the framework of multi-asset portfolio analysis, in addition to the high-order moments such as return and volatility of a single asset, the co-skewness and the co-kurtosis are also the systematic risk measures that can not be ignored. Based on the research framework of Bakshi et al. (2003), this paper uses the data of Taiwan option market to extract the implicit higher order total moments, implicit co-moments and implied trait moments, and discusses their respective prediction effects on the relevant realized moments, and further constructs the trading strategy of these moments. The results show that the implied volatility is more consistent with the actual volatility trend and statistical characteristics than the bias and kurtosis. Cobias, cokurn fluctuations are much more intense than covariance. The prediction effect of introducing multi-market information is better than that of using one market information alone. In terms of trading strategy, the difference between historical moment and implicit moment information in combination is mainly reflected in higher moments such as skewness and kurtosis. The historical covariance and cobias are relatively good in the period of market stabilization, and the advantage of implicit covariance is that the strategy construction is more robust. The effective reflection of option market information depends on the maturity, evolution and increase of trading activity.
【作者单位】：厦门大学管理学院;国务院学科评议组;厦门国际银行总行发展研究部;
【基金】：国家自然科学基金面上项目“资产价格中隐含通货膨胀信息的提取、分析与应用”(71371161);国家自然科学基金面上项目“波动率微笑:隐含信息与动态建模”(71471155)资助
【分类号】：F224;F832.5

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