Study on Shanghai stock market with ACD model based on MCMC

Author

Yanan Wang ; Qizong Wu ; Chunsheng Cui

Author_Institution

Sch. of Manage. & Econ., Beijing Inst. of Technol., Beijing, China

Volume

4

fYear

2011

fDate

12-14 Aug. 2011

Firstpage

1810

Lastpage

1813

Abstract

In the stock exchange, the trade duration reflect the important information about market exchange. So it has great effects on the bargainer´s behaviors and the liquidity of the stock market exchange. For testing the infection of the trade duration in the stock exchange, the paper chooses two stocks in Shanghai Stock Exchange to study their trade duration with ACD model based on MCMC, discusses the characteristics related to duration, and checks the extent between the ACD model and China Stock Exchange Market. The research shows that the ACD model match well with China Stock Exchange.

Keywords

Markov processes; Monte Carlo methods; stock markets; ACD model; China stock exchange market; Markov chain Monte Carlo; Shanghai stock market; bargainer behaviors; trade duration; Convergence; Data models; Educational institutions; Markov processes; Solid modeling; Stock markets; ACD model; ultra-high-frequency data; volume duration;

fLanguage

English

Publisher

ieee

Conference_Titel

Electronic and Mechanical Engineering and Information Technology (EMEIT), 2011 International Conference on

Conference_Location

Harbin, Heilongjiang, China

Print_ISBN

978-1-61284-087-1

Type

conf

DOI

10.1109/EMEIT.2011.6023456

Filename

6023456