统计研究 ›› 2004, Vol. 21 ›› Issue (4): 42-3.
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蒋学雷;陈敏;王国明; 吴国富
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Abstract: The measure of market liquidity is very. important for the risk manager and institutional traders conducting high volume trades in the stock market. This paper used the new statistic tool, VENT, which directly measures the depth of the market corresponding to a particular price deterioration, to make a short time dynamic ACD model which measuring the relation about the liquidity change of three stocks in the stock market.
蒋学雷, 陈敏, 王国明, 吴国富. 股票市场的流动性度量的动态ACD模型[J]. 统计研究, 2004, 21(4): 42-3.
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https://tjyj.stats.gov.cn/CN/Y2004/V21/I4/42
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