报告人：樊鹏英

报告题目：Return direction forecasting a conditional autoregressive shape model with beta density

报告时间：12月7日周四，上午10：00-11：30

报告地点：腾讯会议号：625-818-894

摘要：This paper decomposes asset return into a linear combination of two parts based on price extremes, and the direction of the stock return is determined by the relative strength of these two parts. A simple transformation shows that direction prediction is equivalent to a ratio prediction. To model the dynamics of this ratio series, a conditional autoregressive shape model with beta (henceforth B-CARS) density is proposed. The specification of the B-CARS model is much like the GARCH model and continuously valued, which makes it totally different from classification-based qualitative models. An empirical study is performed on the US stock market, and the results show that the predicting power of the B-CARS model is not only statistically significant but also economically valuable. We also compare the B-CARS model with the probit model, and the results demonstrate that the proposed B-CARS model outperforms the probit model for return direction forecasting in an economic sense. The B-CARS model provides a new framework for return direction forecasting.

个人简介：樊鹏英，北京工商大学经济学院金融系副教授，硕士研究生导师，数字金融研究中心风险管理研究团队负责人。研究领域有：衍生品定价、风险管理。在《Financial Innovation》、《Acta Mathematicae Applicatae Sinica English Series》、《Computational Economics》、《系统工程理论与实践》、《数理统计与管理》、《统计与决策》等期刊发表论文20余篇。主持国家社科基金一般项目1项，参与国家社科基金项目、国家自然科学基金项目和北京市社会科学基金项目等5项。

报告人简介：樊鹏英，北京工商大学经济学院金融系副教授，硕士研究生导师，数字金融研究中心风险管理研究团队负责人，北京市青年拔尖人才。研究领域有：衍生品定价、风险管理。在《Financial Innovation》、《Acta Mathematicae Applicatae Sinica English Series》、《Computational Economics》、《系统工程理论与实践》、《数理统计与管理》、《统计与决策》等期刊发表论文20余篇。主持国家社科基金一般项目1项，参与国家社科基金项目、国家自然科学基金项目和北京市社会科学基金项目等5项。