{"title":"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","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":"{\"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}","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}
Density Function Estimation Based on SVM: An Application in Estimating Liquidity Risk in Stock Market
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
京公网安备 11010802042870号
京ICP备2023020795号-1
分享
求助内容：
应助结果提醒方式：
扫码关注我们
