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Return
Realized Probability
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PRE
AI
DOI：10.1007/s11424-025-3179-7.png)
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Abstract
En 中文
Under the assumption that asset prices follow a mixed gamma process, this paper first shows that return series can be presented as a difference of two gamma processes and then proposes a realized probability index for return direction forecasting. The underlying distribution of this new index is analyzed and found to be beta-distributed. Both theoretical and empirical results show that this new index is more efficient than the traditional binary index.
Keywords:
Beta distribution
mixed Gamma process
realized probability
return decomposition
Journal
IF:
2.8
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212
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