相关论文: Dual State-Space Model of Market Liquidity: The Ch…
This paper discusses how to crawl the data of financial forums such as stock bar, and conduct emotional analysis combined with the in-depth learning model. This paper will use the Bert model to train the financial corpus and predict the…
This paper presents an empirical analysis of the capital asset pricing model using trading data for the Chinese A-share market from 2000 to 2019. Firstly, the standard CAPM is tested using a Fama-MacBetch regression and although the results…
The asymmetric price impact between the institutional purchases and sales of 32 liquid stocks in Chinese stock markets in year 2003 is carefully studied. We analyze the price impact in both drawup and drawdown trends with consecutive…
There is a growing concern in recent years over the potential formation of bubbles in the Chinese real estate market. This paper aims to conduct a series of bubble diagnostic analysis over nine representative Chinese cities from two…
In this paper, we investigate the cooling-off effect (opposite to the magnet effect) from two aspects. Firstly, from the viewpoint of dynamics, we study the existence of the cooling-off effect by following the dynamical evolution of some…
Recent works have shown that social media platforms are able to influence the trends of stock price movements. However, existing works have majorly focused on the U.S. stock market and lacked attention to certain emerging countries such as…
Stock price change in financial market occurs through transactions in analogy with diffusion in stochastic physical systems. The analysis of price changes in real markets shows that long-range correlations of price fluctuations largely…
We investigate the probability distribution of the volatility return intervals $\tau$ for the Chinese stock market. We rescale both the probability distribution $P_{q}(\tau)$ and the volatility return intervals $\tau$ as…
We investigate the behavior of the Shanghai Stock Exchange Composite (SSEC) index for the period from 1990:12 to 2007:06 using an unconstrained two-regime threshold autoregressive (TAR) model with an unit root developed by Caner and Hansen.…
We present a simple dynamic equilibrium model for an online exchange where both buyers and sellers arrive according to a exogenously defined stochastic process. The structure of this exchange is motivated by the limit order book mechanism…
The diagonal effect of orders is well documented in different markets, which states that orders are more likely to be followed by orders of the same aggressiveness and implies the presence of short-term correlations in order flows. Based on…
We study the distributions of event-time returns and clock-time returns at different microscopic timescales using ultra-high-frequency data extracted from the limit-order books of 23 stocks traded in the Chinese stock market in 2003. We…
This study replicates the findings of Wang et al. (2017) on reference-dependent preferences and their impact on the risk-return trade-off in the Chinese stock market, a unique context characterized by high retail investor participation,…
Sentiment towards the Chinese real estate sector has deteriorated following the introduction of financing constraints in 2020 with the ''three red lines." Forcing developers to restructure their debt, the policy triggered a cascade of…
This paper investigates the time-varying risk-premium relation of the Chinese stock markets within the framework of cross-sectional momentum and contrarian effects by adopting the Capital Asset Pricing Model and the French-Fama three factor…
In this article, we present a discrete time modeling framework, in which the shape and dynamics of a Limit Order Book (LOB) arise endogenously from an equilibrium between multiple market participants (agents). We use the proposed modeling…
We analyze the stability properties of equilibrium solutions and periodicity of orbits in a two-dimensional dynamical system whose orbits mimic the evolution of the price of an asset and the excess demand for that asset. The construction of…
This paper examines how the Shanghai-Hong Kong Stock Connect (SHHK Stock Connect) affects the A-H share price premium and whether the policy effect depends on pre-existing market efficiency. Using monthly data for 67 A-H dual-listed firms…
Most modern financial markets use a continuous double auction mechanism to store and match orders and facilitate trading. In this paper we develop a microscopic dynamical statistical model for the continuous double auction under the…
Price gap, defined as the logarithmic price difference between the first two occupied price levels on the same side of a limit order book (LOB), is a key determinant of market depth, which is one of the dimensions of liquidity. However, the…