马 馨 悦.基于核密度估计的互联网金融产品收益率对比分析[J].重庆工商大学自然科学版,2018,35(4):37-43
基于核密度估计的互联网金融产品收益率对比分析
Comparison and Analysis of the Yield of Internet Financial Products Based on the Kernel Density Estimation
  
DOI:
中文关键词:  互联网金融  余额宝  理财宝  核密度估
英文关键词:Internet finance  Yu E Bao  Cai Fu Bao  kernel density estimation.
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作者单位
马 馨 悦 南京财经大学 应用数学学院南京 210023 
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中文摘要:
      针对当下互联网热门金融产品余额宝和财富宝,选取二者7日年化收益率作为对比数据,在验证了收益率均不服从正态分布的情况下,使用非参数估计方法——核密度估计对数据分布特征进行研究,并选择Epan核,使用Silverman嵌入估计进行核密度估计;结果表明:余额宝与财富宝的收益率均服从双峰分布,且财富宝收益率明显高于余额宝收益率,但更易产生收益率极端值;此研究可为互联网金融市场的风险度量等模型在收益率分布方面提供更具说服力的参考。
英文摘要:
      By starting from the current hot Internet financial products: The YuE Bao and the CaiFu Bao , the annual rate of income of the seven days is selected as the contrast data.In the case that the yield does not obey the normal distribution, the non parametric estimation method, the kernel density estimation, is used to study the data distribution characteristics. And also, this paper selects the Epan kernel and uses the Silverman embedding estimation to run the kernel density estimation to conclude that The yield of YuE Bao of Alipay and CaiFu Bao all obey the distribution of “Shuangfeng”. And the profit rate of CaiFu Bao is obviously higher than that of the YuE Bao , but it is more likely to produce the extreme value of the yield. This study can also provide a more convincing reference for the risk measurement of the Internet financial market in terms of yield distribution.
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