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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...
This paper presents a method for forecasting the moving direction of Shanghai Stock Composite Index (CCI) through constructing the feature pattern vectors containing the characters of the market structure according to the profitunity approach and adopting SVM to perform pattern recognition. First, the market trend forecasting is considered as a pattern recognition problem. Second, the pattern vectors...
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