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Patent data has been used for generating patent-based indicators for tracking the technology development of high-tech companies. In this paper, we further show the promises of exploiting patent data for the analysis and prospecting of high-tech companies in the stock market. Specifically, we aim at investigating the relationship between the patent activities of high-tech companies and the dynamics...
This paper proposes a Realized Trading Volatility (RTV) model for dynamically monitoring anomalous volatility in stock trading. Specifically, the RTV model first extracts the sequences for price volatility, volume volatility, and realized trading volatility. Then, the K-means algorithm is exploited for clustering the summary data of different stocks. The RTV model investigates the joint-volatility...
In this paper, we formulate a novel problem for finding black hole and volcano patterns in a large directed graph. Specifically, a black hole pattern is a group which is made of a set of nodes in a way such that there are only in links to this group from the rest nodes in the graph. In contrast, a volcano pattern is a group which only has out links to the rest nodes in the graph. Both patterns can...
In the current international financial crisis, investors are closely watching that how deeply China's market is affected by the financial crisis and its role in stabilizing the global financial situation. In this paper, we have tested spillover effects in financial risk between the Shanghai market and the other main stock markets. We use the kernel smoothing function to estimate the marginal density...
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