摘要
运用Monte Carlo模拟数据生成过程的方法,对现存几种日内跳跃检验方法进行比较.选用表现最好的ABD跳跃检验方法,借助跳跃强度模型,从经济信息释放对跳跃强度影响的角度探讨上证综指跳跃产生的原因.研究发现上证综指平均每四天左右发生一次跳跃;美国股市表现,存款准备金率,利率和消费者物价指数,这些信息的释放是上证综指发生跳跃的原因;跳跃行为存在非对称性,并且导致向上和向下跳跃的经济信息存在区别.
This paper presents a comparative analysis of the existing detections for intraday jumps by using a data generation process of Monte Carlo simulation. We use the ABD test procedure, which has best performance, to analyze the reason of jumps in Shanghai Composite Index from the viewpoints of economic information affecting jump intensity with the help of jump intensity model. The result reveals that a jump occurs in Shanghai Composite Index about every four days. The information on the U S stock market performance, the domestic deposit reserve ratio, interest rate and consumer price index is the reason of jumps in Shanghai Composite Index. The jump behavior is asymmetric, and the economic information that causes upward jump and downward jump is different.
出处
《系统科学与数学》
CSCD
北大核心
2015年第1期85-98,共14页
Journal of Systems Science and Mathematical Sciences
基金
国家自然科学基金项目(71171056
71101134
71473039)资助课题
关键词
高频数据
日内跳跃
信息
跳跃强度
High-frequency data, intraday jump, information, jump intensity
