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Order driven market, is the main trading mechanism of the most securities markets in the world, including China's securities market. We study the phenomenon of the stock market by computational experiment in limit order model. The typical phenomenon, volatility clustering and fat tail, can be reproduced by our model. Further, after adding the trend of investors and considering various parameters,...
In 2008, the world has experienced a financial crisis. There are many mathematical models for measuring the risk, but now, we know at the very least, they didn't disclosure risks. The efficient market hypothesis postulates that markets tend towards equilibrium. But the efficient market hypothesis is unrealistic. There is systemic risk in the market in addition to the risks most market participants...
In this paper, a brief summary of real estate credit policies in recent years is reviewed, and then an empirical analysis, which is based on the data of years from 1997 to 2007, on the relationship between the average house price and the national real estate credit scale is made. The results indicate that there is a relevancy between them, while the loans for real estate development make a different...
In this article, first of all, we have measured the degree of China's financial openness and commercial bank risk, and on the basis of data, we have analyzed the relationship between financial openness and commercial bank risk from the model of unit root test, co-integration test, error correction model, Granger causality test and impulse response function. We find there exists co-integration relationship...
By means of the ARCH (Auto-regressive Conditional Heteroscedasticity) and its modified models, this paper presents an empirical analysis of the volatility heteroscedasticity and the resilience to external shocks for China emerging stock market in the past three years based on the stock index of SSE180, SZSE40, Coal/Petroleum and Finance sectors. The results show that the fluctuation of SSE180 index...
This article highlights some of the techniques used to represent and predict the main features of price evolution and to classify stock so as to design diversified investment portfolios.
We present a generic method for analyzing the effect of process variability in nanoscale circuits. The proposed framework uses kernel and a generic tail probability estimator to eliminate the need for a-priori density choice for the nature of circuit variation. This allows capturing the true nature of the circuit variation from a few random samples of its observed responses. The data-driven, non-parametric,...
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