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題名:VPIN能否預測比特幣崩盤?
書刊名:期貨與選擇權學刊
作者:郭家豪劉天石
作者(外文):Guo, Jia-hauLiu, Tian-shi
出版日期:2020
卷期:13:1
頁次:頁43-82
主題關鍵詞:崩盤風險比特幣負偏態係數DUVOLVPINCrash riskBitcoinNCSKEW
原始連結:連回原系統網址new window
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  • 被引用次數被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:0
  • 共同引用共同引用:0
  • 點閱點閱:5
期刊論文
1.Chen, J.、Hong, H.、Stein, J. C.(2001)。Forecasting Crashes: Trading Volume, Past Returns, and Conditional Skewness in Stock Prices。Journal of Financial Economics,61(3),345-381。  new window
2.Duarte, Jefferson、Young, Lance(2009)。Why is PIN priced?。Journal of Financial Economics,91(2),119-138。  new window
3.Hutton, A. P.、Marcus, A. J.、Tehranian, H.(2009)。Opaque financial reports, R2, and crash risk。Journal of Financial Economics,94(1),67-86。  new window
4.Ellis, K.、Michaely, R.、O'Hara, M.(2000)。The accuracy of trade classification rules: Evidence from Nasdaq。Journal of Financial and Quantitative Analysis,35,529-551。  new window
5.Aitken, M.、Frino, A.(1996)。The Accuracy of the Tick Test: Evidence from the Australian Stock Exchange。Journal of Banking and Finance,20,1715-1729。  new window
6.Easley, David、Kiefer, Nicholas M.、O'Hara, Maureen、Paperman, Joseph B.(1996)。Liquidity, information and infrequently traded stocks。The Journal of Finance,51(4),1405-1436。  new window
7.Easley, David、de Prado, Marcos Lopez、O'Hara, Maureen(2012)。Flow toxicity and liquidity in a high-frequency world。Review of Finance Studies,25(5),1457-1493。  new window
8.Aktas, N.、De Bodt, E.、Declerck, F.、Van Oppens, H.(2007)。The PIN anomaly around M&A announcements。Journal of Financial Markets,10(2),169-191。  new window
9.Hong, H.、Stein, J. C.(2003)。Differences of Opinion, Short-sales Constraints, and Market Crashes。Review of Financial Studies,16,487-525。  new window
10.Ammann, Manuel、Kessler, Stephan M.(2009)。Intraday characteristics of stock price crashes。Applied Financial Economics,19,1239-1255。  new window
11.Chang, Xin、Chen, Yangyang、Zolotoy, Leon(2017)。Stock Liquidity and Stock Price Crash Risk。Journal of Financial & Quantitative Analysis,52,1605-1637。  new window
12.Abad, D.、Yagüe, J.(2012)。From PIN to VPIN: An Introduction to Order Flow Toxicity。The Spanish Review of Financial Economics,10,74-83。  new window
13.Akay, O.、Cyree, K. B.、Griffiths, M. D.、Winters, D. B.(2012)。What Does PIN Identify? Evidence from the T-Bill Market。Journal of Financial Markets,15,29-46。  new window
14.Amaya, D.、Christoffersen, P.、Jacobs, K.、Vasquez, A.(2015)。Does Realized Skewness Predict the Cross-Section of Equity Returns?。Journal of Financial Economics,118(1),135-167。  new window
15.Bethel, E. W.、Leinweber, D.、Rubel, O.、Wu, K.(2012)。Federal Market Information Technology in the Post-Flash Crash Era: Role for Supercomputing。The Journal of Trading,7,9-25。  new window
16.Chakrabarty, B.、Li, B.、Nguyen, V.、Van Ness, R. A.(2007)。Trade Classification Algorithms for Electronic Communications Network Trades。Journal of Banking & Finance,31,3806-3821。  new window
17.Easley, David、López de Prado, Marcos M.、O'Hara, Maureen(2011)。The Microstructure of the 'Flash Crash': Flow Toxicity, Liquidity Crashes, and the Probability of Informed Trading。The Journal of Portfolio Management,37(2),118-128。  new window
18.Easley, D.、de Prado, M. Lopez、O'Hara, M.(2012)。Bulk Classification of Trading Activity。SSRN Electronic Journal。  new window
19.Li, X.、Wang, S. S.、Wang, X.(2017)。Trust and Stock Price Crash Risk: Evidence from China。Journal of Banking & Finance,76,74-91。  new window
20.Lv, D.、Wu, W.(2019)。Margin-Trading Volatility and Stock Price Crash Risk。Pacific-Basin Finance Journal,56,179-196。  new window
21.Pöppe, T.、Moos, S.、Schiereck, D.(2016)。The Sensitivity of VPIN to the Choice of Trade Classification Algorithm。Journal of Banking & Finance,73,165-181。  new window
22.Upson, J.、Van Ness, R. A.(2017)。Multiple Markets, Algorithmic Trading, and Market Liquidity。Journal of Financial Markets,32,49-68。  new window
23.Zhou, L.、Huang, J.(2018)。Investor Trading Behavior and Stock Price Crash Risk。International Journal of Finance & Economics,24,227-240。  new window
24.Lee, Charles M. C.、Ready, Mark J.(1991)。Inferring Trade Direction from Intraday Data。Journal of Finance,46(2),733-746。  new window
研究報告
1.Eom, K. S.、Kang, S. K.、Park, J. H.(2018)。The Effects of Positive Earnings Surprises on Information Asymmetry, Misinterpretation of Public Information, and Subsequent Stock Price Crash Risk。Kyonggi University。  new window
 
 
 
 
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