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流动性和延迟在金融市场中的作用基于最佳预测模型
Guo-Hui Yang1, Si-Qi Ma1, Xiao-Dong Bian1
1School of Finance, Yunnan University of Finance and Economics, Kunming, P. R. of China.
PloS one
|September 1, 2023
概括
本研究引入了一个最佳的预测模型来评估金融市场的效率和流动性,考虑到信息延迟. 拟议的模型表现优于基准,显示出更高的交易概率和延迟时间增加了市场风险.
科学领域:
- 金融经济学 金融经济学
- 定量金融是指数量金融.
- 市场微观结构 市场微观结构
背景情况:
- 金融市场受到流动性和信息延迟的影响.
- 了解这些因素对于评估市场效率至关重要.
- 包含信息延迟的随机模型为分析提供了一个框架.
研究的目的:
- 为金融市场提出一个最佳预测模型.
- 调查流动性和信息延迟在市场效率中的作用.
- 评估交易概率和延迟时间对市场风险的影响.
主要方法:
- 开发一个简化的延迟随机模型.
- 机器学习的应用用于样本内和样本外的价格预测.
- 使用概率函数和贝叶斯方法进行参数估计.
- 使用各种统计测试 (SPA,AIC,BIC) 与ARIMA-GARCH等基准模型进行比较.
主要成果:
- 拟议的简化延迟随机模型显示,与基准模型相比,预测性能优越.
- 经验发现与最佳预测模型一致,表明兼容性.
- 公司规模和流动性表现出反向关系;延迟时间和流动性显示出非线性关系.
结论:
- 最佳预测模型有效地评估了信息延迟下金融市场的效率和流动性.
- 增加交易概率和延迟时间会对回报分配稳定性产生负面影响,并增加市场风险.
- 最佳的流动性与最有效的市场有关.
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