• 主题
高级搜索  >
历史搜索 清空历史
首页> 外文会议>IEEE international conference on grey systems and intelligent services >Density Function Estimation Based on SVM: An Application in Estimating Liquidity Risk in Stock Market
【24h】

Density Function Estimation Based on SVM: An Application in Estimating Liquidity Risk in Stock Market

机译：基于支持向量机的密度函数估计：在股票市场流动性风险估计中的应用

获取原文
页面导航
  • 摘要
  • 著录项
  • 相似文献
  • 相关主题

摘要

This paper presents a method to compute liquidity risk of stock market with model of VaR. Firstly, a measure for liquidity is defined, which reflects the volatility of return caused by unit ratio of the position to be liquidated to the tradable shares. Secondly, the density function of the measure for liquidity is estimated with support vector machine, with which the liquidity VaR of stocks is calculated. Finally, some stocks of Shanghai and Shenzhen stock markets are chosen, according to their tradable shares, to compute liquidity VaR. The results show that the liquidity VaR is bigger than the traditional VaR that is calculated without considering liquidity, which means the latter does underestimate the risk.
机译：本文提出了一种基于VaR模型的股票市场流动性风险计算方法。首先，定义了一种流动性度量，该度量反映了由要清算的头寸与可交易股份的单位比率引起的收益率的波动性。其次，使用支持向量机估计流动性度量的密度函数，从而计算股票的流动性VaR。最后，根据上海和深圳股票的可交易股票选择一些股票来计算流动性VaR。结果表明，流动性VaR大于不考虑流动性而计算的传统VaR，这意味着后者确实低估了风险。

著录项

相似文献

  • 外文文献
  • 中文文献
  • 专利
获取原文

客服邮箱：kefu@zhangqiaokeyan.com

京公网安备：11010802029741号 ICP备案号：京ICP备15016152号-6 六维联合信息科技 (北京) 有限公司©版权所有

  • 客服微信

  • 服务号