摘要
如何科学合理地界定极端波动的阈值是研究金融极端事件最为关键和核心的问题,而目前该方面的研究十分有限,且传统的方法(如标准差法和百分位法等)都存在较强的经验性和主观性。本文基于系统动力学这一研究视角,尝试用一种新的复杂性方法来解决这一问题。由于金融市场极端波动事件是金融市场演化的极端状态或受到外界扰动而导致的异常状态。而金融市场的长程相关性不受或很少受极端状态的影响,因此可以运用DFA(消除趋势波动分析)方法,通过确定序列的DFA指数何时开始收敛于原始值来确定极端波动率阈值。本文以上证指数为研究样本,运用DFA方法对股市极端波动率进行定量化研究:首先,对股市波动率的长程时间关联进行分析,发现上海股票市场存在着固有的长期持续性的演化状态;其次,运用基于DFA的极端事件阈值确定方法确定了上海股市极端波动率的阈值,进而运用Du等提出的严重度指数对股市极端波动事件发生的严重度进行实证分析,结果发现上述研究方法在研究股市极端波动方面具有较好的应用效果。
The most critical and essential issue of study of financial market extreme events is how to define threshold of extreme events scientifically and rationally.As extreme fluctuation of financial market is the extreme state of financial market evolution,or the abnormal state caused by external disturbances,while the long range correlation of financial market is not or rarely affected by extreme conditions,DFA(Detrended Fluctuation Analysis)method can be used to determine extreme volatility threshold by determining when the DFA index of the sequence starts to converge to the original value.From the perspective of complexity science,using the most typical index of Chinese stock market,Shanghai Composite Index,this paper conducts quantitative research on the extreme volatility of Chinese stock market using DFA method.Firstly,the long range time correlation of stock market volatility is analyzed,it is found that Shanghai stock market has an inherently long-term continuous evolution state.Secondly,the extreme volatility threshold of Shanghai stock market is determined using DFA-based extreme event threshold determination method,and then the annual severity index of stock market extreme fluctuation is measured,it is indicated that the research method above has a good application effect in studying stock market extreme fluctuation.In order to further test the effectiveness of the method above,the DFA method and traditional percentile method are compared,proving the superiority of DFA method.
作者
苑莹
于昕彤
张同辉
YUAN Ying;YU Xintong;ZHANG Tonghui(School of Business Administration,Northeastern University,Shenyang 110169,China)
出处
《上海管理科学》
2019年第1期81-85,共5页
Shanghai Management Science
基金
国家自然科学基金(71271047)
国家社会科学基金(18BJY238)
教育部人文社会科学基金(17YJCZH235)
中央高校基本科研业务费项目(N170606003)
关键词
极端波动率
阈值
消除趋势波动分析
严重度指数
extreme volatility
threshold
detrended fluctuation analysis
severity index of the extreme volatility
