论文标题
在不确定的环境下，模拟动态波动，并具有模糊性和随机性
Modeling dynamic volatility under uncertain environment with fuzziness and randomness
论文作者
论文摘要
与预测金融市场中动态波动有关的问题在许多情况下起着至关重要的作用。我们构建了一个新的广义Barndorff-Nielsen和Shephard（BN-S）模型，适用于具有模糊性和随机性的不确定环境。这个新模型考虑了价格波动和波动性变化之间的延迟现象，解决了缺乏经典模型的长期依赖性的问题。通过道琼斯期货价格的实验，我们发现与经典模型相比，该方法有效地结合了不确定的环境特征，这使得动态波动的预测具有更理想的性能。
The problem related to predicting dynamic volatility in financial market plays a crucial role in many contexts. We build a new generalized Barndorff-Nielsen and Shephard (BN-S) model suitable for uncertain environment with fuzziness and randomness. This new model considers the delay phenomenon between price fluctuation and volatility changes, solves the problem of the lack of long-range dependence of classic models. Through the experiment of Dow Jones futures price, we find that compared with the classical model, this method effectively combines the uncertain environmental characteristics, which makes the prediction of dynamic volatility has more ideal performance.
