Risk Analysis of Security Investment Strategies Based on Order Flow

被引：0

作者：

Li, Chenggang ^{[1
]}

Li, Xiaolin ^{[1
]}

机构：

[1] Guizhou Univ Finance & Econ, Fac Finance, Guiyang 550004, Peoples R China

来源：

PROCEEDINGS OF THE THIRD SYMPOSIUM OF RISK ANALYSIS AND RISK MANAGEMENT IN WESTERN CHINA | 2013年 / 40卷

关键词：

Order flow; Order flow impact coefficient; Security investment strategy; Risk;

D O I：

暂无

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

The risk of security investment strategies is widely concerned by academic and industry circles. This paper builds different order flow impact coefficient stock portfolios, calculates their return, constructs binary GARCH-BEKK model between order impact coefficient and return, obtains the conditional variance of high and low order impact coefficient investment strategies and analyzes the risk of investment strategies of different order impact coefficient. The analysis results show that the return of high order impact coefficient investment strategy is higher than the low one. Compared with low order impact coefficient strategy, the high order impact coefficient portfolio has greater risk, but gains higher risk premium.

引用

页码：67 / 72

页数：6

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