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Order Statistics and Their Applications to Quantitative Finance
http://hdl.handle.net/11316/00001138
http://hdl.handle.net/11316/0000113846b1a67e-c90c-4746-8b57-872621e4188d
| 名前 / ファイル | ライセンス | アクション |
|---|---|---|
本文（Article） (730.6 kB)
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| Item type | 紀要論文 / Departmental Bulletin Paper(1) | |||||
|---|---|---|---|---|---|---|
| 公開日 | 2019-02-25 | |||||
| タイトル | ||||||
| タイトル | Order Statistics and Their Applications to Quantitative Finance | |||||
| 言語 | ||||||
| 言語 | eng | |||||
| キーワード | ||||||
| 言語 | en | |||||
| 主題Scheme | Other | |||||
| 主題 | order statistics | |||||
| キーワード | ||||||
| 言語 | en | |||||
| 主題Scheme | Other | |||||
| 主題 | minima | |||||
| キーワード | ||||||
| 言語 | en | |||||
| 主題Scheme | Other | |||||
| 主題 | maxima | |||||
| キーワード | ||||||
| 言語 | en | |||||
| 主題Scheme | Other | |||||
| 主題 | range (difference between two order statistics) | |||||
| キーワード | ||||||
| 言語 | en | |||||
| 主題Scheme | Other | |||||
| 主題 | distributions of order statistics | |||||
| キーワード | ||||||
| 言語 | en | |||||
| 主題Scheme | Other | |||||
| 主題 | VaR (Value at Risk) | |||||
| キーワード | ||||||
| 言語 | en | |||||
| 主題Scheme | Other | |||||
| 主題 | quantile estimation | |||||
| 資源タイプ | ||||||
| 資源タイプ識別子 | http://purl.org/coar/resource_type/c_6501 | |||||
| 資源タイプ | departmental bulletin paper | |||||
| その他（別言語等）のタイトル | ||||||
| その他のタイトル | Order Statistics and Their Applications to Quantitative Finance | |||||
| 著者 |
譚, 康融
× 譚, 康融× 原田, 康平 |
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| 抄録 | ||||||
| 内容記述タイプ | Abstract | |||||
| 内容記述 | This study concerns about order statistics and their applications to quantitative finance. So far, theories and applications of order statistics have been well developed and applied to many scientific fields ranging from conventional statistical problems to recent biostatistical researches. It has been shown that order statistics have many good statistical properties which other ones don't deserve. In this study, firstly some statistical properties and results of order statistics are reviewed and summarized. Secondly, applications of order statistics in quantitative finance, such as, valuation of the VaR (Value At Risk), estimation of tail distributions of financial assets etc., are to be discussed. Through these applications, it is shown that order statistics also play an important role in analyzing the extreme values (minima and maxima) in financial markets. Here, we not only utilize order statistics to analyze the extreme values, but also consider the ranges distribution (difference between any two order statistics of asset prices), especially the possibilities of applications of the ranges distribution to risk management. | |||||
| 書誌情報 |
産業経済研究 en : The journal of the Society for Studies on Industrial Economies 巻 48, 号 4, p. 499-520, 発行日 2008-03-25 |
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| 出版者 | ||||||
| 出版者 | 久留米大学産業経済研究会 | |||||
| ISSN | ||||||
| 収録物識別子タイプ | ISSN | |||||
| 収録物識別子 | 0389-7044 | |||||
| 書誌レコードID（NCID） | ||||||
| 収録物識別子タイプ | NCID | |||||
| 収録物識別子 | AN00098567 | |||||
| 論文ID（NAID） | ||||||
| 識別子タイプ | NAID | |||||
| 関連識別子 | 110007045588 | |||||
