股票市场的流动性度量的动态ACD模型
2004-04-15分类号:F224
【部门】中科院数学与系统科学研究院 中科院数学与系统科学研究院 国家统计局统计研究所 中科院数学与系统科学研究院
【摘要】The measure of market liquidity is very important for the risk manager and institutional traders conducting high volume trades in the stock market.This paper used the new statistic tool,VENT,which directly measures the depth of the market corresponding to a particular price deterioration,to make a short time dynamic ACD model which measuring the relation about the liquidity change of three stocks in the stock market.
【关键词】流动性 动态ACD模型
【基金】国家自然科学基金委创新研究群体基金资助 (编号 :70 2 2 10 0 1);; 重点基金 (编号 :70 3 3 10 0 1)资助
【所属期刊栏目】统计研究
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