期权微观结构模型与股票风险系数模型：基于跳跃扩散过程的理论建模与实证分析

This project investigates the market microstructure (liquidity) at option market and asset pricing model under jump diffusion process. We establish equilibrium models and derive the theory results, assuming the asset return has jump-diffusion process. After equilibrium derivation, by applying analytical and numerical analysis, we thus are able to disentangle the effects from jump arrival rate and effects from mean and standard deviation of jump size on asset pricing as well as on options' liquidity. After theoretical analysis, we apply none-parametric methods (as well as parametric methods for comparison purpose) to calculate realized jump components for further examining validity of our theoretical results. The main tasks includes: (1) developing the market microstructure model for option market.; (2) improving nonlinear estimation models for asset pricing.; (3) By using probability theory to analyze effects from jump components on realized Beta.; (4) applying none-parametric estimation and high frequency data to verify theoretical results. For the risk management and policy administration, the paper makes the following contributions: (1) Our model can be applied for liquidity risk management and used for forecasting liquidity.; (2)We improve the asset pricing model by incorporating jump components, making estimation more accurate.; (3) Our estimation is mixed frequency module. It extracts information from intraday high frequency data and analyzes low frequency (daily or weekly) return, enhancing the function of risk management.

本课题研究基于跳跃扩散过程假定下的期权市场微观结构与资产定价模型。与传统的金融理论模型不同，本研究首先将针对跳跃成分(包含跳跃发生的频率，跳跃大小的均值与方差)对期权买卖价差和资产定价的影响建立金融理论模型并推导出均衡。进而结合数值与模拟方式分析各种跳跃过程成分对金融资产定价与市场微观结构流动性的影响机理。基于经济理论建模，我们可以进一步了解这些跳跃成分彼此之间是如何通过非线性的组合来影响金融市场。在模型理论分析后，我们利用非参方法来估计跳跃的成分以进一步验证理论模型的结果。本研究的主要任务包括：(1)开发非线性的金融市场微观结构(流动性)预测模型；(2)改进资产定价的非线性参数模型；(3)通过概率理论分析跳跃成分是如何影响资产定价模型的已实现风险系数（Realized Beta）；(4)利用高频数据与非参方法（辅以参数方法）来进行模型理论验证。

本课题研究基于跳跃扩散过程假定下的期权市场微观结构与资产定价模型。与传统的金融理论模型不同，本研究首先将针对跳跃成分(包含跳跃发生的频率，跳跃大小的均值与方差)对期权买卖价差和资产定价的影响建立金融理论模型并推导出均衡。进而结合数值与模拟方式分析各种跳跃过程成分对金融资产定价与市场微观结构流动性的影响机理。基于经济理论建模，我们可以进一步了解这些跳跃成分彼此之间是如何通过非线性的组合来影响金融市场。在模型理论分析后，我们利用非参方法来估计跳跃的成分以进一步验证理论模型的结果。本研究的主要任务包括：(1)开发非线性的金融市场微观结构(流动性)预测模型；(2)改进资产定价的非线性参数模型；(3)了解高阶举的风险溢价。