讲座题目：Modelling Asset Returns under Price Limits: a Markov-Switching Truncated Gaussian Model with Time-Varying Volatility
主讲人：Dinghai Xu, PhD, Associate Professor，University of Waterloo
There are two components in this talk. The first component provides a fundamental introduction of the Mixture Truncated Gaussian (MTRG) model. In particular, we advocate the use of the Mixture Truncated Gaussian in modelling asset returns under price limits. Theoretically, the MTRG retains many convenient statistical features of the Gaussian. The closed form solutions for its PDF, CDF and MGF are available. This allows us to further investigate the model properties in an analytical way. For instance, taking the advantage of the closed form MGF, we are able to derive any order of moments analytically. We show that even with the bounded domain, the MTRG can still accommodate a wide range of variances and kurtosis. Empirically, due to the flexible mixture setting, the MTRG can well capture many salient features of the data. In particular, under the price limits on the stock market, we propose to use a mixture of four-component truncated Gaussian to model the return distribution. Our empirical evidence shows that the proposed model can not only well explain the clusters near the price bounds (due to the \bound effect"), but also capture the peaked-shape around zero (due to the minimum-tick size effect). Built on the theory of the first part, the second component extends the MTRG into a Markov-switching setting with time-varying volatility. This extension allows the proposed model to accommodate more stylized facts of the financial returns. Thus, the framework is more flexible and realistic. The proposed model is applied to several stocks in Chinese stock markets (Shanghai and Shenzhen). The empirical results are quite promising and interesting.
Dinghai Xu，滑铁卢大学（The University of Waterloo）经济系副教授（终身教职），数学系数理金融硕士联席副教授，博士生导师，“中国2+2”国际项目主任，经济系负责研究生教育和招生的副系主任。研究领域主要为金融计量经济学，论文发表于Journal of Financial Econometrics，Quantitative Finance，Journal of Banking and Finance，Journal of Economics and Finance，International Journal of Finance and Economics，Frontiers of Economics in China，Econometric Reviews等著名期刊。