Application of the Heavy-tailed Estimation in Financial Data
There exist many marginal distributions of high frequency time series data in the Heavy-tailed distribution which stores a great deal of information in its tail. Based on the Hill’s estimator which is the classic in the Heavy-tailed index, the AvHill’s estimator is proposed and AvHill’s estimator su...
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| Format: | Article |
| Language: | zho |
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Harbin University of Science and Technology Publications
2019-04-01
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| Series: | Journal of Harbin University of Science and Technology |
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| Online Access: | https://hlgxb.hrbust.edu.cn/#/digest?ArticleID=1665 |
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| author | CHEN Hai-long HUANG Fei XIE Sheng |
| author_facet | CHEN Hai-long HUANG Fei XIE Sheng |
| author_sort | CHEN Hai-long |
| collection | DOAJ |
| description | There exist many marginal distributions of high frequency time series data in the Heavy-tailed distribution which stores a great deal of information in its tail. Based on the Hill’s estimator which is the classic in the Heavy-tailed index, the AvHill’s estimator is proposed and AvHill’s estimator successfully reduce the variance of the Hill’s estimator. The MM estimator is proposed which is based on the moment estimator and the maximum likelihood meanwhile and it also reduces the variance of the Hill’s estimator. Based on the theoretical simulation in the 1000 data and compare the data, Hill’s estimator , AvHill’s estimator and MM estimator express their own advantage in the different data capacity and degree of stability. We use Hill’s estimator , AvHill’s estimator and MM estimator to estimate the absolute value in the up and down of the stock data. We find the data segment using the intersections of the curves of the three estimators to reflects the function and the advantage of the three estimator in the different data segment. |
| format | Article |
| id | doaj-art-da3896ccb03d4e99891e090bad112fe8 |
| institution | Kabale University |
| issn | 1007-2683 |
| language | zho |
| publishDate | 2019-04-01 |
| publisher | Harbin University of Science and Technology Publications |
| record_format | Article |
| series | Journal of Harbin University of Science and Technology |
| spelling | doaj-art-da3896ccb03d4e99891e090bad112fe82025-08-20T03:47:03ZzhoHarbin University of Science and Technology PublicationsJournal of Harbin University of Science and Technology1007-26832019-04-0124029610210.15938/j.jhust.2019.02.014Application of the Heavy-tailed Estimation in Financial DataCHEN Hai-long0HUANG Fei1XIE Sheng2School of Computer Science and Technology, Harbin University of Science and Technology，Harbin 150080, ChinaSchool of Computer Science and Technology, Harbin University of Science and Technology，Harbin 150080, ChinaSchool of Computer Science and Technology, Harbin University of Science and Technology，Harbin 150080, ChinaThere exist many marginal distributions of high frequency time series data in the Heavy-tailed distribution which stores a great deal of information in its tail. Based on the Hill’s estimator which is the classic in the Heavy-tailed index, the AvHill’s estimator is proposed and AvHill’s estimator successfully reduce the variance of the Hill’s estimator. The MM estimator is proposed which is based on the moment estimator and the maximum likelihood meanwhile and it also reduces the variance of the Hill’s estimator. Based on the theoretical simulation in the 1000 data and compare the data, Hill’s estimator , AvHill’s estimator and MM estimator express their own advantage in the different data capacity and degree of stability. We use Hill’s estimator , AvHill’s estimator and MM estimator to estimate the absolute value in the up and down of the stock data. We find the data segment using the intersections of the curves of the three estimators to reflects the function and the advantage of the three estimator in the different data segment.https://hlgxb.hrbust.edu.cn/#/digest?ArticleID=1665heavy tailed estimationhill’s estimatoravhill’s estimatormm estimatorstock data |
| spellingShingle | CHEN Hai-long HUANG Fei XIE Sheng Application of the Heavy-tailed Estimation in Financial Data Journal of Harbin University of Science and Technology heavy tailed estimation hill’s estimator avhill’s estimator mm estimator stock data |
| title | Application of the Heavy-tailed Estimation in Financial Data |
| title_full | Application of the Heavy-tailed Estimation in Financial Data |
| title_fullStr | Application of the Heavy-tailed Estimation in Financial Data |
| title_full_unstemmed | Application of the Heavy-tailed Estimation in Financial Data |
| title_short | Application of the Heavy-tailed Estimation in Financial Data |
| title_sort | application of the heavy tailed estimation in financial data |
| topic | heavy tailed estimation hill’s estimator avhill’s estimator mm estimator stock data |
| url | https://hlgxb.hrbust.edu.cn/#/digest?ArticleID=1665 |
| work_keys_str_mv | AT chenhailong applicationoftheheavytailedestimationinfinancialdata AT huangfei applicationoftheheavytailedestimationinfinancialdata AT xiesheng applicationoftheheavytailedestimationinfinancialdata |