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Value at Risk (VaR) has become the standard measure that financial analysts use to quantify market risk. VaR is defined as the maximum potential change in value of financial instruments with a given probability over a certain horizon. In this paper, we firstly combine GARCH-GJR model with extreme value theory to describe the statistical features of returns series of Shanghai Interbank Offered Rate...
Risk measurement is an important prerequisite in modern finance. This paper aims to measure exchange rate risk of Chinese exchange market. We firstly examine the heteroscedasticity of the return series of USD/CNY and EUR/CNY data, the results suggest that there is obvious heteroscedasticity. Secondly, we choose the best GARCH model to filter the return series to i.i.d residual series and employ extreme...
A social network consists of events and individuals, in which the events denote the activities happening in the system and the individuals denotes the peoples who are attracted into the activities. A memory feature exists in a dynamic social network which leads to the decay of the event attraction, and further influences the structure and the dynamics of the network. In the paper, an agent model for...
It is easy to understand that the strategy and the endowment will affect a trader's profit in a continuous double auction (CDA) market by qualitative analysis, but it is hard by quantitative analysis. This paper quantitatively analyzes the strategy effect, the endowment effect, and the interaction between them in computerized CDA markets with k-ZI agents.
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