arXivDaily arXiv每日学术速递 周一至周五更新
arXiv 1108.3155q-fin.ST
收藏

论金融市场的非随机性

About the non-random Content of Financial Markets

Laurent Schoeffel

摘要:

对于普通的观察者来说,金融市场看起来完全是随机的,行为飘忽不定,无法控制。在很大程度上,这是正确的。在第一次近似的实际价格变化和随机游走模型之间的差异太小,无法检测使用传统的时间序列分析。然而,我们在下文中表明,真实金融时间序列和随机游走之间的这种差异,尽管很小,但可以使用现代统计多变量分析来检测,并在交易系统中编码了几个触发器。这种分析基于核物理中广泛使用的方法,具有大样本数据和先进的统计推断。考虑到欧元期货合约在高频率的运动,我们表明,这一系列的非随机内容的一部分,可以推断,即趋势跟踪的内容取决于波动范围。当然,这不是统计推断的一般证明,因为我们只关注一个特定的例子,不能声称这个过程的普遍性。因此,我们在一个完全不同的市场上制作了其他例子,这些市场与欧元期货基本上不相关,即DAX和可可期货合约。使用基于相同成分的交易系统遵循相同的程序。我们表明,可以得到类似的结果,我们的结论是,这是一个证据,一些不变量,在我们的系统中编码,已被确定。它们提供了一种量化的非随机内容的金融市场探索了10年的时间。

英文摘要:

For the pedestrian observer, financial markets look completely random with erratic and uncontrollable behavior. To a large extend, this is correct. At first approximation the difference between real price changes and the random walk model is too small to be detected using traditional time series analysis. However, we show in the following that this difference between real financial time series and random walks, as small as it is, is detectable using modern statistical multivariate analysis, with several triggers encoded in trading systems. This kind of analysis are based on methods widely used in nuclear physics, with large samples of data and advanced statistical inference. Considering the movements of the Euro future contract at high frequency, we show that a part of the non-random content of this series can be inferred, namely the trend-following content depending on volatility ranges. Of course, this is not a general proof of statistical inference, as we focus on one particular example and the generality of the process can not be claimed. Therefore, we produce other examples on a completely different markets, largely uncorrelated to the Euro future, namely the DAX and Cacao future contracts. The same procedure is followed using a trading system, based on the same ingredients. We show that similar results can be obtained and we conclude that this is an evidence that some invariants, as encoded in our system, have been identified. They provide a kind of quantification of the non-random content of the financial markets explored over a 10 years period of time.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

↑