Decision Sciences
8 years ago

New Algorithm Reveals Impact of Price Limits on Shanghai Stock Market

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Systems Engineering - Theory & Practice
A New Algorithm for Estimating Stochastic Volatility Model and the Application in Shanghai Stock Market
Fengqin Liu

Paper Summary

A new algorithm was developed to estimate volatility in the Shanghai stock market. The algorithm was compared to older methods and found to perform well. The study also showed that price limits have a significant impact on volatility persistence.

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