Risks embedded in asset price dynamics are taken to be accumulations of surprise jumps. A Markov pure jump model is formulated on making variance gamma parameters deterministic functions of the price level. Estimation is done by matrix exponentiation of the transition rate matrix for a continuous time finite state Markov chain approximation. The motion is decomposed into a space dependent drift and a space dependent martingale component. Though there is some local mean reversion in the drift, space dependence of the martingale component renders the dynamics to be of the momentum type. Local risk is measured using market calibrated measure distortions that introduce risk charges into the lower and upper prices of two price economies. These risks are compensated by the exponential variation of space dependent arrival rates. Estimations are conducted for the S&P 500 index (S P X), the exchange traded fund for the financial sector (X L F), J. P. Morgan stock prices (J P M), the ratio of JPM to XLF, and the ratio of XLF to SPX.

中文翻译：

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衡量失真的到达率风险及其回报

资产价格动态中蕴含的风险被认为是意外跳跃的积累。通过使方差伽玛参数具有价格水平的确定性函数，制定了马尔可夫纯跳跃模型。对于连续时间有限状态马尔可夫链逼近，通过跃迁速率矩阵的矩阵求幂来完成估算。该运动被分解为与空间有关的漂移和与空间有关的mar分量。尽管漂移中存在局部均值反转，但是the组件的空间依赖性使动力学成为动量类型。本地风险是使用市场校准的度量失真来度量的，这种失真将风险费用引入两个价格经济体的较低价格和较高价格。这些风险由与空间有关的到达率的指数变化来补偿。