摘要
The measure of market liquidity is very important for the risk manager and institutional traders conducting high volume trades in the stock market.This paper used the new statistic tool,VENT,which directly measures the depth of the market corresponding to a particular price deterioration,to make a short time dynamic ACD model which measuring the relation about the liquidity change of three stocks in the stock market.
The measure of market liquidity is very important for the risk manager and institutional traders conducting high volume trades in the stock market.This paper used the new statistic tool,VENT,which directly measures the depth of the market corresponding to a particular price deterioration,to make a short time dynamic ACD model which measuring the relation about the liquidity change of three stocks in the stock market.
出处
《统计研究》
CSSCI
北大核心
2004年第4期42-44,共3页
Statistical Research
基金
国家自然科学基金委创新研究群体基金资助 (编号 :70 2 2 10 0 1)
重点基金 (编号 :70 3 3 10 0 1)资助
