文献类型：期刊文献

英文题名：Risk estimation of CSI 300 index spot and futures in China from a new perspective

作者：Suo, Yuan-Yuan[1];Wang, Dong-Hua[1,2];Li, Sai-Ping[3]

机构：[1]E China Univ Sci & Technol, Sch Business, Shanghai 200237, Peoples R China;[2]E China Univ Sci & Technol, Res Ctr Econophys, Shanghai 200237, Peoples R China;[3]Acad Sinica, Inst Phys, Taipei 115, Taiwan

年份：2015

卷号：49

起止页码：344

外文期刊名：ECONOMIC MODELLING

收录：;WOS:【SSCI(收录号:WOS:000357756600033)】；

基金：The authors would like to thank an anonymous reviewer for his constructive suggestions and comments. This work was supported by the National Science Foundation of China (Grant No.71171083), the Innovation Program of Shanghai Municipal Education Commission (Grant No.14ZS058) and the Humanities and Social Sciences Fund, sponsored by the Ministry of Education of the People's Republic of China (Grant No.09YJC630075).

语种：英文

外文关键词：CSI 300 index; Recurrence interval; Probability distribution; Memory effect; Risk estimation

摘要：We investigate the statistical behavior and application in risk estimation of recurrence intervals between high-frequency returns that are either larger than a given positive threshold or smaller than a negative threshold for the stock index and stock index futures markets in China. By studying the probability density function of recurrence intervals, we find symmetric profiles for both the positive and negative occurrence thresholds, which can be fitted with stretched exponential functions. The probability density function further scales with the mean interval as the unified functional form for different thresholds. We further study the dependence of the conditional probability density function and the scaled mean condition recurrence interval on the previous recurrence interval, and demonstrate the existence of short memory in recurrence intervals. The result from detrended fluctuation analysis exhibits long-term correlations, where the detrended fluctuation function decays as an exponential function, with an exponent between 0.5 and 1. Based on the results of the analysis of recurrence intervals, we construct a hazard function and define a loss probability in order to evaluate risk in financial markets. To our surprise, a crossover is found in the loss probability plot of the stock index and its futures market, which sheds light on the issue of value at risk (VaR) overestimation (underestimation) based on recurrence interval analysis of complex financial markets. The study would enable one to improve risk estimation and is useful for management of risks in financial markets. (C) 2015 Elsevier B.V. All rights reserved.