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The Shanghai and Shenzhen 300 stock index futures will soon be launched, stock index futures with a leverage effect, it is necessary to set the research of the margin level of stock index futures in order to trade more efficient and secure. Based on the Shanghai and Shenzhen 300 Index statistical properties, in a certain probability, using extreme value theory based on generalized Pareto distribution...
The empirical distributions of normalized matched-filter echoes from a midfrequency active sonar with hyperbolic frequency-modulated waveforms in a myriad of oceanic environments are studied for three broad clutter (nontarget) classes: bottom structures, diffuse compact clutter, and compact nonstationary (moving) clutter. The distributions are characterized using the K -distribution (KD) and the generalized...
In this paper, we study the statistical features of Chinese foreign exchange market data. Furthermore, we mainly fit the sample tail data employed generalized pareto distribution (GPD), when building VaR model based on fat-tail distribution of extreme value theory (EVT), we show that the model can be appropriate to be applied to Chinese foreign exchange market data. We have also proposed a procedure...
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