NDLI: Systemic Jump in Chinese Stock Market

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2013 Sixth International Conference on Business Intelligence and Financial Engineering

2012 Fifth International Conference on Business Intelligence and Financial Engineering

2011 Fourth International Conference on Business Intelligence and Financial Engineering

2010 Third International Conference on Business Intelligence and Financial Engineering

Table of Contents

Program Committee

The Properties of Spike-Rate Perceptron with Super-Poisson Input

Comparison of Artificial Intelligence Based Techniques for Short Term Load Forecasting

A Method for Selecting Optimum from Evaluation Schemes Based on Set Pair Analysis

A Binary Particle Swarm Optimization Based on Proportion Probability

The Optimization Method of Quick Response Manufacturing System Based on the Genetic Algorithm

Self-Organizing Map for Clustering Algorithms in Programming Codes

Evaluation Techniques for Oil Gas Reservoir Based on Artificial Neural Networks Techniques

Energy Demand Estimation of China Using Artificial Neural Network

Predicting Price of Target of Acquisitions Based on RBF Neural Network

Exchange Rate Prediction through ANN Based on Kernel Regression

Combined Forecast of the Demand of Office Building in Shanghai Based on Artificial Neural Network

Credit Evaluation Model and Application Based on Fuzzy Neural Network

Automated Knowledge Acquisition from Discrete Data Based on NEWFM

The Algorithm of a Reference Compensation Current for Shunt Active Power Filter Control

Credit Risk Identification of Bank Client Basing on Supporting Vector Machines

Compression of OLAP Cubes for Aggregate Queries Based on Copula Approach

Realization of the Data Warehouse Design and the Anti-normalization Design by Using PowerDesigner

A Space-Time Efficient Algorithm for Constructing QC-Tree

Ontology-Based Expertise Locator

The Digital Content of Manufacturer Gaming Based on the Stackberg Model

Logistics Information Exchange Pattern Base on ebXML

Return in B2C E-Commerce Enterprises

Mechanism for a New Demand Forecasting Paradigm 'Individual Demand Forecasting'

Dynamic Pricing with Strategic and Myopic Consumers

Optimization of Bonus-Penalty Structure in Flexible Resources-Constrained Project Scheduling Problems from Both Sides of the Contract

Model of Assessing Trunk Road Service Oriented by Users Demand

The Constructing Method of Meta-requirement Analysis Model

Framework Design for Intelligent Business Process-Oriented Knowledge-Sharing Platform

A New Estimation Method for Multivariate Markov Chain Model with Application in Demand Predictions

Efficiency Evaluation on Two-Stage Production Using DEA

Pricing Convertible Bond with Reset Clause of American Type

Pricing Mitigation and Contagion Effect of Guaranteed Debt in Interacting Intensity Model

A Dynamic Programming Approach to Real Option Valuation in Incomplete Markets

Modified Pricing Model for Synthetic Collateralized Debt Obligation (SCDO)

Pricing Multiple Stock Warrants with Strategic Exercise

Pricing Geometric Asian Options under Stochastic Volatility Framework

Pricing Perpetual American Option under the Fractional Black-Scholes Model

Pricing of Option with Power Payoff Driven by Mixed Fractional Brownian Motion

Non-competition Guarantee Value Model Research Based on Real Option

Applicability of Arbitrage Pricing Theory on Chinese Security Market

Pricing Permanent American Capped-Call Option in EVG Model

Two-Factor Affine Term Structure Model of Interest Rates for Chinese Government Bond Pricing

Credit Risk Contagion and Mitigation for Guaranty Portfolio

The Comparison of the Optimal Portfolio Corresponding to Different Weight Functions

A Stochastic Model and a Portfolio Approach to the Optimal Forest Management

Analysis of a Basket of Currencies Portfolio Based on Copula-GARCH Method

Asset and Liability Management for an Insurer with Jump-Diffusion Surplus Process under Mean-Variance Criterion

Analysis of Investment Decision System for Oil Companies Based on System Dynamic Principles

An ICA-MDN Based Multi-stage Model for Portfolio Value-at-Risk Analysis

Dynamic Portfolio Selection under Conditional Capital at Risk Constraint

Use of the Cooperative Game Model for Water Rights Trade

Situation Distribution on a Symmetrical 3-Person 0-1 Game with Entropy

A Game Analysis of Environmental Governance: A Case Study of Baosteel Group

Analysis of Penalty-Sharing of Reverse Supply Chain with Risk-Averse Collector

Games-Based Brand Competition Strategy

Sustainable Equilibrium Evaluation on Three Gorges Project

Modeling of Boom and Burst of Shadow - A Game Theory Approach

An Empirical Analysis on Determinant Factors of Environmental Information Disclosure: Evidence from A-Share Listed Firms in Shenzhen in China

Corporation Government, Performance and CEO Compensation

Improvement of Selection of Enterprise Informatization Dynamic Equilibrium Models with Theory of Second Best

Analysis of Shadows behind Financial Bubbles

The Value Quality Evaluating Model of the Listed Companies under the Background of Accounting Information Distortion

Does Holistic Listing Improve the Efficiency of China's Listed Companies?

Chaos Problem Cumulative Effects Research on Rural Financial Innovation

Profitability of SSE 50 Sample Companies Frow the View of EVA

A Nonparametric Kernel Regression Method for the Recognition of Visual Technical Patterns in China's Stock Market

Multifractal Detrended Cross-Correlation Analysis of Chinese Stocks

A Multiresolution Wavelet Based Analysis of the Chinese Stock Market

An Empirical Analysis on Effect of Monetary Policy in China (1995-2009)

Import Demand of Crude Oil and Economic Growth in China: Evidence from the ARDL Model

Research on Volatility of Open-Ended Funds in Chinese Financial Market

Long-Term Memory in Realized Volatility: Evidence from Chinese Stock Market

An Improved K-Line Fractal Dimension and Its Application on Stock Time Series Segmentation

Empirical Analysis of Factors Influencing China's Stock Market

Developing a Time Series Model Based on Particle Swarm Optimization for Gold Price Forecasting

Innovating Risk Management and Hedging Strategy for Convertible Bonds Using Support Vector Machine

Constructing Risk Measurement Models by Quantile Regression Method

Extending Options by Changing Their Underlying Assets: An Anti-crisis Solution

Measure Exchange Rate Risk Using GARCH Model and Extreme Value Theory

Expected Shortfall and It's Application in Credit Risk Measurement

Nonlinear VaR Model of Options Portfolio under Multivariate Mixture of Normals Distributions

Examining the Uncertainty-Investment Relationship under Alternative Stochastic Processes

Systemic Jump in Chinese Stock Market

Value-at-Risk Estimation of Crude Oil Price via Morphological Component Analysis

Construction of Local Government Debt Risk Early Warning System

Market Failure and Supply Model of Chinese Agricultural Insurance

The Role of Jump Factor in Default Risk of Listed Company in China

Does Price Limit Affect the Autocorrelation of Stock Return Series? A Monte Carlo Experiment

Dynamic Linkages between the European and US Stock Markets

The Comparison of Stock Contract and Options Contract

An Empirical Study of Three Rounds Trading Model of Foreign Exchange Market

Decentralized Investment, Manager Structure and Firm Performance

Comparison of Performance of Structural Models: Evidence from China

Investor Sentiments and Stock Market Volatility

Export Rebate and Export Performance: From the Respect of China's Economic Growth Relying on Export

Mutual Relationship between NIFTY Stock Index Future and Spot Markets

The Reverse-Disposition Effect: Theory and Evidence

Urban Public Pension, Two-Sector Production and Endogenous Growth

Measuring Price Deviation to Define Volatility and the State of Price: A Study on Four Major World Indexes

Publisher's Information

2009 International Conference on Business Intelligence and Financial Engineering

Systemic Jump in Chinese Stock Market

Content Provider	IEEE Xplore Digital Library
Author	Peng Hao
Copyright Year	2010
Abstract	In order to test the existence of systemic jump in returns in Chinese Stock Market, this paper estimated a multivariate stochastic volatility jump-diffusion model, which assumes that returns are affected by both systemic jumps and idiosyncratic jumps. Taking the 50 index of Shanghai and the stocks from different industries of the stock market as an example, through developing Markov Chain Monte Carlo simulation to estimate its parameters and found significant evidence of the existence of systemic jumps. Although systemic jumps are significantly present, the majority of jumps are idiosyncratic. A new perspective that views systemic jump as a part of systemic risk contributes to systemic risk management of financial crisis.
Starting Page	376
Ending Page	380
File Size	275204
Page Count	5
File Format	PDF
ISBN	9781424475759
e-ISBN	9781424475766
DOI	10.1109/BIFE.2010.93
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	2010-08-13
Publisher Place	China
Access Restriction	Subscribed
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	Industries idiosyncratic jump multivariate stochastic volatility jump diffusion Markov processes Markov Chain Monte Carlo Indexes Mathematical model systemic jump Bayesian inference Stock markets Monitoring
Content Type	Text
Resource Type	Article

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