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- W3124702924 abstract "This paper proposes and motivates a dynamical model of the Chinese stock market based on a linear regression in a dual state space connected to the original state space of correlations between the volume-at-price buckets by a Fourier transform. We apply our model to the price migration of executed orders by the Chinese brokerages in 2009-2010. We use our brokerage tapes to conduct a natural experiment assuming that tapes correspond to randomly assigned, informed and uninformed traders. Our analysis demonstrates that customers’ orders were tightly correlated — in a highly nonlinear sense of neural networks — with the Chinese market sentiment, significantly correlated with the returns of the Chinese stock market and exhibited no correlations with the yield on bellwether bond of the Bank of China. We did not notice any spike of illiquidity transmitting from the US Flash Crash in May 2010 to trading in China." @default.
- W3124702924 created "2021-02-01" @default.
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- W3124702924 date "2020-01-01" @default.
- W3124702924 modified "2023-09-23" @default.
- W3124702924 title "Dual State-Space Model of Market Liquidity: The Chinese Experience 2009-2010" @default.
- W3124702924 doi "https://doi.org/10.2139/ssrn.3569901" @default.
- W3124702924 hasPublicationYear "2020" @default.
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