量钟环境下基于知情交易概率的股票波动性研究

发布时间：2018-01-11 16:01

本文关键词：量钟环境下基于知情交易概率的股票波动性研究　出处：《天津大学》2014年硕士论文　论文类型：学位论文

【摘要】：计算机技术的快速发展为金融理论与实务带来了强大生命力,直接体现于金融数据的指数增长模式,也正是在此背景下,基于海量高频数据的金融研究才得以迅速发展和壮大。本文主要对基于量钟的知情交易概率和股票波动性之间的引导关系进行研究,其中,基于量钟的知情交易概率,即VPIN,由Easley、Lopez和O’Hara等人首次提出,是使用高频数据对市场信息不对称程度进行动态刻画的及时指标,股票波动性则通过Anderson和Bollerslev等人首次提出并发展至今的已实现族方差进行描述,本文将分别在第三章和第四章对VPIN和已实现波动的理论体系进行详细介绍和探讨。在对VPIN和股票波动性之间的关系进行实证研究时,本文得到了以下主要结论:首先,VPIN能够对股票市场的异常波动作出提前反应,即在市场“闪跌”或急速拉升之前大部分个股的VPIN都会早于指数波动出现急剧变化;其次,对各只样本股票的VPIN序列和未来1天的已实现族方差序列建立回归方程,发现VPIN对未来波动具有显著解释作用,且回归R方普遍接近10%,其中VPIN对小盘股的解释作用要强于大盘股;最后,使用VPIN作为选股指标可以得到更加低风险的投资组合,本文通过量化技术构建的低VPIN组合已实现族方差均值相对高VPIN组合下降幅度超过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%.

【学位授予单位】：天津大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：TP399-C2;F830.91

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