英文标题：
《The Wandering of Corn》
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作者：
Valerii Salov
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最新提交年份：
2017
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英文摘要：
  Time and Sales of corn futures traded electronically on the CME Group Globex are studied. Theories of continuous prices turn upside down reality of intra-day trading. Prices and their increments are discrete and obey lattice probability distributions. A function for systematic evolution of futures trading volume is proposed. Dependence between sample skewness and kurtosis of waiting times does not support hypothesis of Weibull distribution. Kumaraswamy distribution is more suitable for waiting times. Relationships between trading volume and maximum profit strategies are presented. Frequencies of absolute b-increments are approximated by a Hurwitz Zeta distribution. Relative b-increments are non-Gaussian too. Dependence between b- and a-increments allows to interpret the sample variances of b-increments as a stochastic process. Mean sample variance of b-increments vs. a-increments is presented. The L1 distance and Log-likelihood statistics for independence between a- and b-increments are controversial. Corn price jumps remind of chain branching reactions. Bi-logarithmic plots of the empirical frequencies of extreme b-increments vs. ranks are presented. Corresponding distributions resemble snakes forked tongues. The maximum profit strategy is discussed as a measure of non-equilibrium.
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中文摘要：
研究了CME集团Globex上以电子方式交易的玉米期货的时间和销售情况。连续价格理论颠覆了日内交易的现实。价格及其增量是离散的，服从格点概率分布。提出了期货交易量系统演化函数。样本偏度和等待时间峰度之间的依赖关系不支持威布尔分布假设。Kumaraswamy分布更适合等待时间。给出了交易量与最大利润策略之间的关系。绝对b增量的频率近似于Hurwitz Zeta分布。相对b增量也是非高斯的。b增量和a增量之间的相关性允许将b增量的样本方差解释为一个随机过程。给出了b增量与a增量的平均样本方差。a增量和b增量之间独立性的L1距离和对数似然统计数据存在争议。玉米价格的上涨让人想起了连锁反应。给出了极端b增量与秩的经验频率的双对数图。相应的分布类似于蛇分叉的舌头。将最大利润策略作为非均衡度量进行了讨论。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：General Finance        一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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