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博碩士論文 etd-0723108-151304 詳細資訊
Title page for etd-0723108-151304
論文名稱
Title
市場反應對即時報酬波動的即時監控系統
Online Monitoring Systems of Market Reaction to Realized Return Volatility
系所名稱
Department
畢業學年期
Year, semester
語文別
Language
學位類別
Degree
頁數
Number of pages
48
研究生
Author
指導教授
Advisor
召集委員
Convenor
口試委員
Advisory Committee
口試日期
Date of Exam
2008-06-25
繳交日期
Date of Submission
2008-07-23
關鍵字
Keywords
回顧性的管制圖、造市者、廣義誤差分佈、高頻交易資料、累積波動
generalized error distribution, integrated volatility, retrospective control chart, high frequency transaction data, market maker
統計
Statistics
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中文摘要
波動是衡量股票市場表現的一個重要指標。一個具有競爭力的造市者應該要能夠正確且有效率地調整買賣價差與買賣報價來跟上市場的真實波動的變化。市場觀察到的報酬波動可以分解為真實的波動與市場微結構噪音所造成波動的和。由於造市者調整報價及報量對市場所帶來的波動則是屬於微結構噪音所造成波動的部分因素。在這篇論文中,我們考慮真實累積波動與觀察的報酬平方總和的比值,並記為PIV。我們使用紐約證交所日內間隔時間為70 分鐘的高頻交易資料,計算其PIV 值,每5 分鐘更新一次,且對此PIV 時間序列資料建立殘差為廣義
誤差分佈的時間序列模型,藉此對每日的PIV 時間序列資料建立回顧性的管制圖與即時監控的管制圖。我們經由McNemar 檢定發現這兩種管制圖對於檢測失控點具有相同的檢定力,並採用Wilcoxon signed-rank 檢定來檢定管制圖中在控制內與失控的時間點中,真實累積波動與造市者所造成的波動間的差異性。結果顯示當失控的點位於管制圖的上管制線之上,代表著造市者無法跟上真實累積波動的變化,而當失控的點位於下管制線之下,則表示在這個時間區間中,造市者根據調整買賣價差所造成的波動變化可能大於真實累積波動的變化。
Abstract
Volatility is an important measure of stock market performance. Competing securities market makers keep abreast of the pace of volatility change by adjusting the bid-ask spreads and bid/ask quotes properly and efficiently. For intradaily high frequency transaction data, the observed volatility of stock returns can be decomposed into the sum of the two components - the realized volatility and the volatility due to microstructure noise. The quote adjustments of the market makers comprise part of the microstructure noise. In this study, we define the ratio of the realized integrated volatility to the observed squared returns as the proportion of realized integrated volatility (PIV). Time series models with generalized error distributed innovations are fitted to the PIV data based on 70-minute returns of NYSE tick-to-tick transaction data. Both retrospective and dynamic online control charts of the PIV data are established based on the fitted time series models. The McNemar test supports that the dynamic online control charts have the same power of detecting out of control events as the retrospective control charts. The Wilcoxon signedrank test is adopted to test the differences between the changes of the market maker
volatility and the realized volatility for in-control and out-of-control periods, respectively. The results reveals that the points above the upper control limit are related to the situation when the market makers can not keep up with the realized integrated volatility, whereas the points below the lower control limit indicate excessive reaction of the the market makers.
目次 Table of Contents
1 Introduction 1
2 Estimation of the realized integrated volatility 3
3 Data description and time series model 6
3.1 Empirical distribution of the estimation of DPIV 6
3.2 Generalized error distribution and parameter estimation 8
4 Monitoring market reaction based on DPIV 11
4.1 Exponentially weighted moving average 12
4.2 REGARIMA model 12
4.3 Monitoring procedure 13
4.4 Explanation of assignable cause 16
4.5 Comparison 19
5 Conclusion 19
Appendix A 20
Appendix B 28
References 40
參考文獻 References
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