多维高斯统计特性_多维比例布朗桥特性模拟

多维高斯统计特性

随机模拟 (Stochastic Simulation)

A well-known market phenomenon in the futures market is that the futures prices may deviate from the spot price of the underlying asset. As shown in an earlier article, the differential between futures and spot prices, called the basis, can be positive or negative, but are expected to converge to zero or near-zero at the expiration of the futures contract.

期货市场中一个众所周知的市场现象是，期货价格可能会与基础资产的现货价格有所不同。 如前一篇文章中所示， 期货和现货价格之间的差(称为基准 )可以为正或负，但在期货合约到期时，预计将收敛至零或接近零。

For each underlying asset, there are multiple futures with different maturities (ranging from 1 month to over a year). And for each futures contract, there is one basis process. Therefore, when we consider all different spot assets and their associated futures, there are a high number of basis processes.

对于每种基础资产，都有多个到期日不同的期货(从1个月到一年以上不等)。 对于每个期货合约，都有一个基础流程。 因此，当我们考虑所有不同的现货资产及其关联的期货时，存在大量的基础流程。

Moreover, these stochastic processes are clearly dependent. First, the spot assets, such as silver and gold, can be (possibly highly) correlated. Second, the futures written on the same underlying asset are clearly driven by a common source of randomness, among other factors. For anyone trading futures (on the same underlying or different assets), it is crucial to understand the dependence among these processes.

而且，这些随机过程显然是依赖的 。 首先，可以(可能是高度)关联现货资产，例如白银和黄金。 其次，写在同一基础资产上的期货显然是由共同的随机性来源以及其他因素驱动的。 对于任何交易期货(使用相同基础资产或不同资产)的人来说，了解这些流程之间的依赖性至关重要。

多维比例布朗桥 (