Market Liquidity Transmission Mechanism based on MGARCH-BEKK Model

机译：基于MGARCH-BEKK模型的市场流动性传导机制

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The stock market liquidity can be used to reflect the market efficiency.By use of the VARMA-MGARCH-BEKK model,we research on liquidity volatility dynamic dependence and multi-variables' volatility structure.We computed the illiquidity value of the price indexes everyday,by use of the illiquidity formula,and then studied the illiquidity volatility spillover,that is liquidity risk spillover to reflect the information transmission between the price indexes.Combined the microstructure and the difference of investor component,we analyzed our empirical results.

机译：可以使用股票市场的流动性来反映市场效率。通过使用VARMA-MGARCH-BEKK模型，我们研究了流动性的波动动态依赖性和多变量的波动性结构。我们每天计算价格指数的非流动性值，利用流动性公式，研究了流动性风险溢出，即流动性风险溢出，反映了价格指数之间的信息传递。结合微观结构和投资者构成的差异，对实证结果进行了分析。

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来源
《2012 IEEE 5th International conference on management engineering amp; technology of statistics》|2012年|69-73|共5页
会议地点 Qingdao(CN)
作者
Wang Ling-zhi;
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作者单位

College of Management,Shanghai University of Engineering Science,China,201620;

College of financial and statistics,East China normal univers,China,200241;

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会议组织
原文格式 PDF
正文语种 eng
中图分类统计学;
关键词
Liquidity; Information transmission; olatility spillover; MGARCH-BEKK;

机译：流动资金；信息传递；生殖溢出玛格·贝克;

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1. Which information matters to market risk spreading in Brazil? Volatility transmission modelling using MGARCH-BEKK, DCC, t-Copulas [J] . Felipe A. de Oliveira, Sinézio F. Maia, Diego P. de Jesus, The North American journal of economics and finance . 2018,第JULa期

机译：哪些信息与巴西的市场风险传播有关？使用MGARCH-BEKK，DCC，t-Copulas进行的波动传递建模
2. The transmission of liquidity shocks via China's segmented money market: Evidence from recent market events [J] . Lu Ruoxi, Bessler David A., Leatham David J. Journal of International Financial Markets, Institutions & Money . 2018,第NOVa期

机译：流动性冲击通过中国细分的货币市场的传导：最近市场事件的证据
3. Liquidity cost of market orders in the Taiwan Stock Market: A study based on an order-driven agent-based artificial stock market [J] . Yi-Ping Huang, Shu-Heng Chen, Ming-Chin Hung, International Review of Financial Analysis . 2012,第Juna期

机译：台湾股票市场中市场订单的流动性成本：基于以订单驱动的基于代理的人工股票市场的研究
4. Market Liquidity Transmission Mechanism based on MGARCH-BEKK Model [C] . Wang Ling-zhi IEEE International conference on management engineering technology of statistics . 2012

机译：基于MGARCH-BEKK模型的市场流动性传动机制
5. Transmission Channels of Global Liquidity in Emerging Market Economies [D] . Kadirgan, Can. 2018

机译：新兴市场经济体中全球流动性的传导渠道
6. The Impacts of Information-Sharing Mechanisms on Spatial Market Formation Based on Agent-Based Modeling [O] . Qianqian Li, Tao Yang, Erbo Zhao, -1

机译：信息共享机制对空间市场形成基于agent的建模的影响
7. We develop a sequential trade model of Iceberg order execution in a limit order book. The Iceberg-trader has the freedom to expose his trading intentions or (partially) shield the true order size against other market participants. Order exposure can cause drastic market reactions (“market impact”) in the end leading to higher transaction costs. On the other hand the Iceberg trader faces a loss-in-priority when he hides his intentions, as most electronic limit order books penalize the usage of hidden liquidity. Thus the Iceberg-trader is faced with the problem to find the right trade-off. Our model provides optimal exposure strategies for Iceberg traders in limit order book markets. In particular, we provide a range of analytical statements that are in line with recent empirical findings on the determinants of trader’s exposure strategies. In this framework, we also study the market impact also market impact of limit orders. We provide optimal exposure profiles for a range of hightech stocks from the US SP500 and how they scale with the state-of-the-book. We finally test the Iceberg’s performance against the limit orders and find that Iceberg orders can significantly enhance trade performance by up to 60. [O] . Gökhan Cebiro˜glu, Ulrich Horst 100

机译：我们在限价订单簿中开发了冰山订单执行的顺序交易模型。 Iceberg-trader可以自由地揭露他的交易意图，或者（部分）屏蔽其他市场参与者的真实订单规模。订单暴露最终会导致市场反应激烈（“市场影响”），导致交易成本上升。另一方面，冰山交易员在隐藏他的意图时面临优先权损失，因为大多数电子限价订单都会惩罚隐藏流动性的使用。因此，冰山商人面临着找到正确权衡的问题。我们的模型为限额订单市场中的冰山交易者提供了最佳的风险敞口策略。特别是，我们提供了一系列分析性陈述，这些陈述与最近关于交易者暴露策略决定因素的实证研究结果一致。在此框架下，我们还研究了市场影响以及限价订单的市场影响。我们为来自美国标准普尔500指数的一系列高科技股票提供最佳曝光配置文件，以及它们如何随着本书的规模扩展。我们最终根据极限订单测试了冰山的表现，发现冰山订单可以显着提升贸易业绩高达60％。

Market Liquidity Transmission Mechanism based on MGARCH-BEKK Model

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