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<p>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.</p>

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Realized Probability

  • 期刊论文

  • 发表日期：

    2025年7月3日

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  • Haibin Xie,
  • Jingjie Zhang,
  • Yun Chen,
  • Zudi Lu

摘要

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.