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Information disclosure quality is directly related to the effective level of capital market and investors' protection. Enhancing information disclosure quality is an essential urgent demand of listed companies all over the world. In this paper, based on the data of Shenzhen Stock Exchange, general analysis and volatility analysis are made to assess the current situation and prospect of information...
An effective similarity measure approach on specific data sets is becoming the focus in time series data mining. To solve the problem that financial time series are lacking dynamic information of trend after they are deal with dimension reduction with SAX, in this work we propose a novel similarity measure function, Composite-Distance-Function which joins point-distance advantages and trend-distance...
Split-share structure reform has been a focus since its implementation. It is of great significance in theory and practice to solve whether the circulation initiatives of 2/3 of the non-outstanding shares for listing companies are promoting the development of capital markets validity. By sampling A-share listed before December 31, 1996 in Shanghai stock market, this paper analyzes the simulation of...
Daily futures data of hard wheat, cotton, soybean and corn from commodity exchanges of America Chicago Board of Trade (CBOT), Zhengzhou Commodity Exchange (CZCE) and Dalian Commodity Exchange (DCE) are analyzed in this paper. First, the co-integration test and Granger causality test are used to study the integration relationship between Chicago and Chinese futures markets. Then, multivariate GARCH...
Estimating the tail index of a heavy-tailed distribution depends on the choice of the number k of upper order statistics used in the estimation. In this paper, we reviewed estimating tail index of the heavy-tailed distribution historic course. We summarized selecting k from the heavy-tailed index to the research state and discussed the sum-plot method and bootstrap method of selecting k from heavy-tailed...
Research on the efficiency of the capital market can be traced to the work that Louis Bachelier, a French scholar, did in 1900. However, it has not been emphasized. Half a century later, Eugene F. Fama, a well-known American scholar, conducted the research again and published a paper entitled "The Behavior of Stock Market Price". Since then, the study on the efficiency of the capital market...
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