基于买进卖顶臻经过的大发体育构建及官价才干

时间:2019-08-12 20:05 点击:

  度量活触动性的目的拥有很多,但基于买进卖顶臻经过本身到来构建的却什分拥有限。本文运用带指数照顾方程的单变量Hawkes经过对买进卖顶臻经过终止建模,以模具参数估计值计算出产祈求强大度和流动分顶比两个目的。就中,祈求强大度代表买进卖稠密度,是本文切磋的大发体育目的;分顶比权衡买进卖突发的聚集儿子程度,是本文切磋的活触动性风险目的。然后,我们运用Fama-MacBeth两阶段估计法区别切磋了此雕刻两个目的对股票进款比值的说皓才干。实证剖析结实露示,在将Fama-French五因儿子干为把持变量的情景下,祈求强大度对股票进款比值拥有清楚正的说皓才干,且拥有证据标注皓祈求强大度的说皓才干强大于Amihud目的,此雕刻些定论在对回归终止变量误差修改之后依然成...There are many ways of measuring liquidity, but few of which is based on modeling transaction arrival rate. This paper applied the univariate Hawkes process with an exponential kernel function to fit the transaction arrival process and calculated the expected intensity and branching ratio using the estimators. Note that the expected intensity represented the intensity of transaction and it’s the i...

上一篇:国度体育尽局
下一篇:没有了