Optimal Statistical Inference in Financial Engineering

Keith HEYEN

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Optimal Statistical Inference in Financial Engineering

机译：金融工程中的最佳统计推断

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Financial engineering, although something of a pejorative at this time, is focused on a fundamental activity in financial markets. Accurate pricing and risk measurement of financial instruments are critically important for effective portfolio management. Derivative pricing depends on estimation of the true data generating process.rnThe book by Tanijuchi, Hirukawa, and Kenichiro (THK) is intended to address this estimation problem from the perspective of the statistician and to function as a undergraduate-level textbook for mathematical statistics or a graduate-level text in time series analysis. In addition, THK suggest the book might be useful as "... a research book for people in the fields of statistics, financial engineering, econometrics and mathematics." This is an ambitious set of goals for a single text. The strongest sections of the book are the comprehensive survey of time series models and the solid introduction to equity option pricing for non-Gaussian processes.

机译：金融工程学虽然目前还有些贬义，但它专注于金融市场的基本活动。金融工具的准确定价和风险衡量对于有效的资产组合管理至关重要。衍生定价取决于对真实数据生成过程的估计。rnTanijuchi，Hirukawa和Kenichiro（THK）的书旨在从统计学家的角度解决这一估计问题，并用作数学或计算机科学的本科水平教材。时间序列分析中的研究生级文本。此外，THK认为这本书可能对“……一本针对统计，金融工程，计量经济学和数学领域的人们的研究书”很有用。对于单个文本，这是一组雄心勃勃的目标。本书最强的部分是对时间序列模型的全面概述，以及对非高斯过程股票期权定价的扎实介绍。

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《The American statistician》 |2010年第1期|92|共1页
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Keith HEYEN;
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Wachovia Corporation;

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1. OPTIMAL STATISTICAL INFERENCE IN FINANCIAL ENGINEERING [J] . Gyoergy Terdik Journal of Time Series Analysis . 2011,第1期

机译：金融工程中的最佳统计推断
2. Causal inference in statistics : A primer . Judea ? Pearl , Maria ? Glymour , and Nicholas ? Jewell , John Wiley & Sons, Ltd. , Chichester, UK . Causal inference in statistics Causal inference in statistics : A primer A primer . Judea ? Pearl Judea Judea ? Pearl Pearl , Maria ? Glymour Maria Maria ? Glymour Glymour , and Nicholas ? Jewell Nicholas Nicholas ? Jewell Jewell , John Wiley & Sons, Ltd. John Wiley & Sons, Ltd. , Chichester, UK Chichester, UK . [J] . Hogan Joseph W. Biometrics: Journal of the Biometric Society : An International Society Devoted to the Mathematical and Statistical Aspects of Biology . 2019,第2期

机译：统计因果推断：一个底漆。犹太？玛丽亚珍珠？甘肃和尼古拉斯？ Jojell，John Wiley＆amp; Sons，Ltd。，奇切斯特，英国。统计统计因果推断的因果推断：底漆底漆。犹太？ Pearl Judea Judea？珍珠珍珠，玛丽亚？ Glymour Maria Maria？ glymour glymour和尼古拉斯？ Jewell Nicholas Nicholas？ John Wiley＆amp的Jewell Jewell; 儿子，有限公司John Wiley＆Sons，Ltd。，奇切斯特，英国奇切斯特，英国。
3. Unified discrete-time and continuous-time models and statistical inferences for merged low-frequency and high-frequency financial data [J] . Kim Donggyu, Wang Yazhen Journal of Econometrics . 2016,第2期

机译：统一的离散时间和连续时间模型以及合并的低频和高频金融数据的统计推断
4. Statistical inference of co-movements of stocks during a financial crisis [C] . Takero Ibuki, Shunsuke Higano, Sei Suzuki, ICSG . 2014

机译：金融危机期间股票共同动化的统计推理
5. Statistical inference for optimal thresholds. [D] . Pavlopoulos, Haralabos. 1991

机译：最佳阈值的统计推断。
6. STATISTICAL INFERENCE FOR THE MEAN OUTCOME UNDER A POSSIBLY NON-UNIQUE OPTIMAL TREATMENT STRATEGY [O] . Alexander R. Luedtke, Mark J. van der Laan -1

机译：可能的非唯一最优治疗策略下平均结果的统计推断
7. Financial Development and the Distributional Effects of Monetary Policy Do the distributional consequences of monetary policy depend on the extent of financial development? Should optimal monetary policy vary across countries? In order to answer these questions, we develop a monetary growth production model with heterogeneous agents. In our economy, optimal policy needs to weigh the effects of policy across two groups — capital owners and individuals who hold liquid assets. While banks help limit the exposure to inflation, there are limits because money alleviates the frictions of private information and limited communication. In this environment, we compare two economies that are identical in every aspect except for their level of financial development. In a country with limited financial development, a stock market is absent. In the other, an equity market is active. In either economy, inflation adversely affects capital formation and output. Individuals who hold liquid assets are always adversely affected by inflation, but the attitude of capital owners depends on the level of financial development. In particular, in the presence of a stock market, the impact of inflation on the welfare of capital owners is non-monotonic. Nevertheless, optimal monetary policy is always more conservative at higher levels of financial development. [O] . TINA M. Edgar A. Ghossoub, TINA M. Robert R. Reedy 100

机译：金融发展和货币政策的分配效应货币政策的分配后果是否取决于金融发展的程度？各国的最优货币政策应该不同吗？为了回答这些问题，我们开发了一个具有异构代理的货币增长生产模型。在我们的经济中，最优政策需要权衡两个群体的政策效应 - 资本所有者和持有流动资产的个人。虽然银行帮助限制通胀风险，但存在限制，因为资金减轻了私人信息的摩擦和有限的沟通。在这种环境下，我们比较两个经济体在各个方面都是相同的，除了它们的金融发展水平。在金融发展有限的国家，缺乏股票市场。另一方面，股票市场活跃。在任一经济体中，通胀都会对资本形成和产出产生不利影响持有流动资产的个人总是受到通货膨胀的不利影响，但资本所有者的态度取决于金融发展的水平。特别是，在股票市场存在的情况下，通货膨胀对资本所有者福利的影响是非单调的。尽管如此，在较高的金融发展水平下，最优货币政策总是更加保守。
8. Statistical Inference on Optimal Points to Evaluate Multi-State Classification Systems. [R] . Batterton, K. A. 2014

机译：多状态分类系统评价最优点的统计推断。

Optimal Statistical Inference in Financial Engineering

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