Financial market instability:price shocks and its predictors

来源 :中国系统工程学会 | 被引量 : 0次 | 上传用户：yun3531

【摘要】

：

【作者】

：

Wu Jia Sergey Ivliev

【机构】

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Perm State University,Prognoz

【出处】

：

中国系统工程学会

【发表日期】

：

2015年3期

【关键词】

：

Instability Price Shock

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　　We present a study of stock market instability in a form of price shocks(jumps).In particular we want to answer two research questions(i)what are the market characteristics of the shocks in stock market prices? And(ii)what indicators can used to predict market shocks?We investigate ultra-high-frequency financial data to detect large but temporally localized price movements for 5 blue chip stocks traded at the Moscow Interbank Currency Exchange (MICEX) in a period of 255 trading days in 2012. A one minute frequency dataset is generated using the last transaction of those five stocks.

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Financial market instability:price shocks and its predictors

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