{"title":"Density Function Estimation Based on SVM: An Application in Estimating Liquidity Risk in Stock Market","authors":"Yiwen Yang, Chenxi Zhang","doi":"10.1109/CISE.2009.5362895","DOIUrl":null,"url":null,"abstract":"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 unite 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. Keywords-density function estimation; SVMg; liquidity risk; VaR","PeriodicalId":135441,"journal":{"name":"2009 International Conference on Computational Intelligence and Software Engineering","volume":"21 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2009-12-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"3","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"2009 International Conference on Computational Intelligence and Software Engineering","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1109/CISE.2009.5362895","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 3
Abstract
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 unite 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. Keywords-density function estimation; SVMg; liquidity risk; VaR
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