金融时间序列简介.pdf

金融时间序列简介 贺方毅 四川大学经济学院 介绍 • 金融时间序列的例子 – 苹果公司股票每天的对数收益率 – 强生公司每个季度的盈利 – 美国每个月的利率 – 美元对日元的汇率 – 保险公司每年收到索赔的金额 – 高频金融数据(Tick-by-tick data of Boeing stock:December 5, 2005) Fangyi He, School of Economics 2 Daily log returns of Apple stock from 2000 to 2007 Fangyi He, School of Economics 3 Quarterly earnings per share of Johnson and Johnson Fangyi He, School of Economics 4 Yen vs 1 US Dollar from 1971.1.4 to 2009.3.20 Fangyi He, School of Economics 5 Daily log−return of FX: Yen vs Dollar from 1971.1 to 2009.3 Fangyi He, School of Economics 6 Monthly US interest rates Fangyi He, School of Economics 7 Fangyi He, School of Economics 8 Asset Returns • Let P be the price of an asset at time t, and assume no t dividend. • One-period simple return: Gross return • Simple return: Fangyi He, School of Economics 9 Asset Returns Fangyi He, School of Economics 10 Asset Returns Fangyi He, School of Economics 11 Asset Returns Fangyi He, School of Economics 12 Asset Returns Fangyi He, School of Economics 13 Asset Returns Fangyi He, School of Economics 14 Asset Returns Fangyi He, School of Economics