论文标题
关于交易的依赖结构/流动性资产不足的贸易顺序
On the dependence structure of the trade/no trade sequence of illiquid assets
论文作者
论文摘要
在本文中，我们建议考虑贸易的依赖性结构/无流动股票的贸易分类顺序。此处考虑的框架是恒定的，并且允许时变零回报概率。对于各种情况，我们的方法在突出流动性库存功能的能力上强调了。更具体地说，我们表明，在存在非稳定零回报的概率的情况下，可能会假冒贸易/无贸易分类序列的长期效应。蒙特卡洛实验以及对智利金融市场进行的股票的分析说明了本文开发的工具的实用性。
In this paper, we propose to consider the dependence structure of the trade/no trade categorical sequence of individual illiquid stocks returns. The framework considered here is wide as constant and time-varying zero returns probability are allowed. The ability of our approach in highlighting illiquid stock's features is underlined for a variety of situations. More specifically, we show that long-run effects for the trade/no trade categorical sequence may be spuriously detected in presence of a non-constant zero returns probability. Monte Carlo experiments, and the analysis of stocks taken from the Chilean financial market, illustrate the usefulness of the tools developed in the paper.
