In the stock pricing, liquidity risk has become one of the important factors that affect the stock realizable value. Systematic and unsystematic risk decided a stock＇s liquidity risk. The author uses the stock price ...In the stock pricing, liquidity risk has become one of the important factors that affect the stock realizable value. Systematic and unsystematic risk decided a stock＇s liquidity risk. The author uses the stock price index growth rate and net outer disk ratio to describe a systematic and unsystematic risk faced by investors. With the help of correlation and regression analysis in SPSS software, the paper tries to establish the systematic and unsystematic risk-driven stock liquidity risk pricing model. Empirical study shows that systematic and unsystematic risk has significant influence on stock liquidity risk. The bigger circulation stock, the greater the systemic risk influence; the less the circulation stock, the larger the non-system risk influence. Calendar factor on stock returns ratio has no significant effect. Trading volume on the stock returns ratio of small companies had no significant effect. The model has important reference value for the measure of stock liquidity risk value loss.展开更多
Recent studies analyzing the liquidity of emerging equity markets （EEM） focus mainly on two independent variables： （1） the turnover ratio and （2） value of equity traded. They ignore the impact of the market con...Recent studies analyzing the liquidity of emerging equity markets （EEM） focus mainly on two independent variables： （1） the turnover ratio and （2） value of equity traded. They ignore the impact of the market concentration of stock traded which could generate price distortion/manipulation. This study empirically estimates the impact of market structure （concentration） and liquidity （turnover ratio） on equity performance （price/returns） of 19 EEM. We use panel data for the period 1992-2000 and least square dummy variable regression technique that measure fixed effects and the dynamics of adjustment. The results show the significance of both independent variables. Liquidity favours investment, and market concentration suggests the potential for market/price manipulation that requires regulatory policies. These results indicate success of reform policies aimed at capital deepening to improve efficient capital allocation and provide profitable investment opportunities.展开更多
For a Stock Market,the critical problem is the maintenance of its liquidity.Market liquidity can be described in various ways,in particular, in terms of the bid/offer spread and the market depth.Model of market liquid...For a Stock Market,the critical problem is the maintenance of its liquidity.Market liquidity can be described in various ways,in particular, in terms of the bid/offer spread and the market depth.Model of market liquidity dynamics has been proposed in Schmidt,A.B.'literate.In our study,we improve his model.On one hand,we think that trading volume is determined by the total number of traders,as well as the relations between the numbers of buyers and sellers,while the model of Schmidt only considers the first item.On the other hand,Schmidt assumes that the number of “newcomers”in the market is in proportion to the current number of trades.However,we all know that the continual rise or fall of the price will also attract more buyers or sellers,that is,“newcomers”,into the market,which he has not taken for granted.We also prove it to be a chaos model through analysis of Lyapunov exponent.On the assumption that price variation can be neglected,we discuss the conditions in which chaos will emerge.Finally,we implement a computer simulation of the model in MATLAB,and get more interesting results.展开更多
This paper concerns with two reasons for stock price fluctuation, the instinctive stochastic fluctuation and the fluctuation caused by the spread of information. They are constructed by compound Poisson process and co...This paper concerns with two reasons for stock price fluctuation, the instinctive stochastic fluctuation and the fluctuation caused by the spread of information. They are constructed by compound Poisson process and continuum percolation model separately. Combining the two models, the authors get a Levy process for the price fluctuation that can explain the fat-tail phenomenon in stock market. The fat-tails axe also presented in numerical simulations.展开更多
An admissible manifold wavelet kernel is proposed to construct manifold wavelet support vector machine(MWSVM) for stock returns forecasting.The manifold wavelet kernel is obtained by incorporating manifold theory into...An admissible manifold wavelet kernel is proposed to construct manifold wavelet support vector machine(MWSVM) for stock returns forecasting.The manifold wavelet kernel is obtained by incorporating manifold theory into wavelet technique in support vector machine(SVM).Since manifold wavelet function can yield features that describe of the stock time series both at various locations and at varying time granularities,the MWSVM can approximate arbitrary nonlinear functions and forecast stock returns accurately.The applicability and validity of MWSVM for stock returns forecasting is confirmed through experiments on real-world stock data.展开更多
文摘In the stock pricing, liquidity risk has become one of the important factors that affect the stock realizable value. Systematic and unsystematic risk decided a stock＇s liquidity risk. The author uses the stock price index growth rate and net outer disk ratio to describe a systematic and unsystematic risk faced by investors. With the help of correlation and regression analysis in SPSS software, the paper tries to establish the systematic and unsystematic risk-driven stock liquidity risk pricing model. Empirical study shows that systematic and unsystematic risk has significant influence on stock liquidity risk. The bigger circulation stock, the greater the systemic risk influence; the less the circulation stock, the larger the non-system risk influence. Calendar factor on stock returns ratio has no significant effect. Trading volume on the stock returns ratio of small companies had no significant effect. The model has important reference value for the measure of stock liquidity risk value loss.
文摘Recent studies analyzing the liquidity of emerging equity markets （EEM） focus mainly on two independent variables： （1） the turnover ratio and （2） value of equity traded. They ignore the impact of the market concentration of stock traded which could generate price distortion/manipulation. This study empirically estimates the impact of market structure （concentration） and liquidity （turnover ratio） on equity performance （price/returns） of 19 EEM. We use panel data for the period 1992-2000 and least square dummy variable regression technique that measure fixed effects and the dynamics of adjustment. The results show the significance of both independent variables. Liquidity favours investment, and market concentration suggests the potential for market/price manipulation that requires regulatory policies. These results indicate success of reform policies aimed at capital deepening to improve efficient capital allocation and provide profitable investment opportunities.
基金This research is supported by the National Natural Science Foundation of China(79970115).
文摘For a Stock Market,the critical problem is the maintenance of its liquidity.Market liquidity can be described in various ways,in particular, in terms of the bid/offer spread and the market depth.Model of market liquidity dynamics has been proposed in Schmidt,A.B.'literate.In our study,we improve his model.On one hand,we think that trading volume is determined by the total number of traders,as well as the relations between the numbers of buyers and sellers,while the model of Schmidt only considers the first item.On the other hand,Schmidt assumes that the number of “newcomers”in the market is in proportion to the current number of trades.However,we all know that the continual rise or fall of the price will also attract more buyers or sellers,that is,“newcomers”,into the market,which he has not taken for granted.We also prove it to be a chaos model through analysis of Lyapunov exponent.On the assumption that price variation can be neglected,we discuss the conditions in which chaos will emerge.Finally,we implement a computer simulation of the model in MATLAB,and get more interesting results.
基金supported by the Natural Science Foundation of Tianjin,China under Grant No.09JCYBLJC01800the China Postdoctoral Science Foundation Funded Project under Grant No.20110491248
文摘This paper concerns with two reasons for stock price fluctuation, the instinctive stochastic fluctuation and the fluctuation caused by the spread of information. They are constructed by compound Poisson process and continuum percolation model separately. Combining the two models, the authors get a Levy process for the price fluctuation that can explain the fat-tail phenomenon in stock market. The fat-tails axe also presented in numerical simulations.
基金the Hunan Natural Science Foundation(No. 09JJ3129)the Hunan Key Social Science Foundation (No. 09ZDB04)the Hunan Social Science Foundation (No. 08JD28)
文摘An admissible manifold wavelet kernel is proposed to construct manifold wavelet support vector machine(MWSVM) for stock returns forecasting.The manifold wavelet kernel is obtained by incorporating manifold theory into wavelet technique in support vector machine(SVM).Since manifold wavelet function can yield features that describe of the stock time series both at various locations and at varying time granularities,the MWSVM can approximate arbitrary nonlinear functions and forecast stock returns accurately.The applicability and validity of MWSVM for stock returns forecasting is confirmed through experiments on real-world stock data.
