英文标题：
《Optimal models of extreme volume-prices are time-dependent》
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作者：
Paulo Rocha, Frank Raischel, Jo\\~ao Pedro Boto and Pedro G. Lind
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最新提交年份：
2014
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英文摘要：
  We present evidence that the best model for empirical volume-price distributions is not always the same and it strongly depends in (i) the region of the volume-price spectrum that one wants to model and (ii) the period in time that is being modelled. To show these two features we analyze stocks of the New York stock market with four different models: Gamma, inverse-gamma, log-normal, and Weibull distributions. To evaluate the accuracy of each model we use standard relative deviations as well as the Kullback-Leibler distance and introduce an additional distance particularly suited to evaluate how accurate are the models for the distribution tails (large volume-price). Finally we put our findings in perspective and discuss how they can be extended to other situations in finance engineering.
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中文摘要：
我们提供的证据表明，经验量价分布的最佳模型并不总是相同的，它强烈依赖于（i）人们想要建模的量价谱区域和（ii）建模的时间段。为了展示这两个特征，我们用四种不同的模型分析了纽约股市的股票：伽马分布、逆伽马分布、对数正态分布和威布尔分布。为了评估每个模型的准确性，我们使用标准相对偏差和Kullback-Leibler距离，并引入一个额外的距离，特别适合评估分布尾（大批量价格）模型的准确性。最后，我们展望了我们的发现，并讨论了如何将其推广到金融工程中的其他情况。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类：Physics        物理学
二级分类：Physics and Society        物理学与社会
分类描述：Structure, dynamics and collective behavior of societies and groups (human or otherwise). Quantitative analysis of social networks and other complex networks. Physics and engineering of infrastructure and systems of broad societal impact (e.g., energy grids, transportation networks).
社会和团体（人类或其他）的结构、动态和集体行为。社会网络和其他复杂网络的定量分析。具有广泛社会影响的基础设施和系统（如能源网、运输网络）的物理和工程。
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