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面向天气衍生品的天气预测AI 解读

We take a simple time series approach to modeling and forecasting daily average temperature in U.S. cities, and we inquire systematically as to whether it may prove useful from the vantage point of participants in the weather derivatives market. The answer is, perhaps surprisingly, yes. Time series modeling reveals conditional mean dynamics and, crucially, strong conditional variance dynamics in daily average temperature, and it reveals sharp differences between the…

汇率已实现波动率的分布AI 解读

Using high-frequency data on deutschemark and yen returns against the dollar, we construct model-free estimates of daily exchange rate volatility and correlation that cover an entire decade. Our estimates, termed realized volatilities and correlations, are not only model-free, but also approximately free of measurement error under general conditions, which we discuss in detail. Hence, for practical purposes, we may treat the exchange rate volatilities and correlations as…