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This paper presents a method to compute liquidity risk of stock market with model of VaR. Firstly, a measure for liquidity is defined, which reflects the volatility of return caused by unite ratio of the position to be liquidated to the tradable shares. Secondly, the density function of the measure for liquidity is estimated with support vector machine, with which the liquidity VaR of stocks is calculated...
To overcome the intrinsic weaknesses of conventional back-propagation (BP) neural networks, a novel type of feed-forward neural network is constructed in this paper, which adopts a three-layer structure but with the hidden-layer neurons activated by a group of Euler polynomials. A weights-direct-determination (WDD) method is thus able to be derived for it, which obtains the optimal weights of the...
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