基于收缩方法的经济市场整合测度研究

针对在计算两个非弱整合市场之间的最大定价误差下界时出现的数据水平扭曲问题,基于收缩方法,通过改进数据协方差矩阵的估计值得到收缩估计量,得到两个非弱整合市场的最大定价误差的更精确的下界。此理论可以广泛应用于多个市场间整合度的评估,进而提高定价的准确性。

Analysis on Estimation of Pricing Errors between Markets Based on the Shrinkage Method

The distortion size is noticeable when calculating the maximum pricing errors between two weak integration markets. This paper obtains the shrinkage estimate employing a better estimate of the covariance matrix of portfolio returns, and then derives a more accurate lower bound for the maximum pricing errors between two weak integration markets. This technique can be widely used to measure whether markets are perfectly integrated and improve the accuracy of the pricing.