对称性破缺、守恒定律与积累股票收益的缩放——一种修改后的Jones-Faddy偏斜t分布视角
Broken Symmetry, Conservation Law, and Scaling in Accumulated Stock Returns -- a Modified Jones-Faddy Skew t-Distribution Perspective
AI总结：
研究分析S&P500多日收益的对称性破缺及波动率与积累天数的线性关系，采用修改后的Jones-Faddy偏斜t分布进行分析。
摘要：
我们分析了S&P500历史多日收益：从每日收益到最多十日累计收益。尽管收益分布中收益与损失的对称性破缺导致其正均值和负偏斜，但实际波动率（方差）表现出与积累天数显著的线性关系。均值也显示出几乎完美的线性关系。我们使用修改后的Jones-Faddy偏斜t分布，从分析和数值两个方面分析这一现象。
英文摘要：
We analyze historic S&P500 multi-day returns: from daily returns to those accumulated over up to ten days. Despite symmetry breaking between gains and losses in the distribution of returns, resulting in its positive mean and negative skew, realized variance (volatility squared) exhibits remarkably good linear dependence on the number of days of accumulation. Mean of the distribution also shows near perfect linear dependence as well. We analyze this phenomenon both analytically and numerically using a modified Jones-Faddy skew t-distribution.
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。
