一种资产定价过程中跳辨识的新方法

A New Approach for Recognizing Jumps in Asset Pricing Process

文章主要基于AitSahalia(2002)关于金融数据中跳(Jump)的研究,对跳的性质作进一步的探索并加以推论,同时采用IMSE(InferiorMeanSquaredError)作为分离跳的标准,选择出恰当的(λ,α,Δ)仨,达到辨识金融数据中跳的目的。

This paper provides an approach for recognizing jumps in Asset Pricing Diffusion process based on Ait Sahalia（2002） on disentangling a jump in a levy process. It adopts a criteria called IMSE to work out an optimal triplet that can disentangle jumps from a given time series.