金融市場における売買スプレッドによる情報評価手法

尹 煕元, 松本 匡史, 棚橋 隆彦

doi:10.11421/jsces.2002.20020002

書誌事項

タイトル別名

Estimation methodology for Information in Financial Market with Bid-Ask Spread

説明

We present estimation methodology for market information with Bid-Ask spread. The Bid-Ask spread has been explained as the result from overall market players’ intention in market microstructure theory[1]. We focus on Bid-Ask spread transition after market opening, and interpret it caused by information effect. Our approach is based on modeling methodology for viscoelastic material that can consider memory effect by information in market system. Under the modeling process, we suggest new parameter that related to response effect and relaxation time effect of information in financial market. Lastly we show the model explain Bid-Ask spread transition and try to estimate market information in Japanese equity market empirically.

収録刊行物

日本計算工学会論文集

日本計算工学会論文集 2002 (0), 20020002-20020002, 2002

一般社団法人日本計算工学会

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詳細情報詳細情報について

CRID: 1390288469025727232

NII論文ID: 130008056072

DOI: 10.11421/jsces.2002.20020002

ISSN: 13478826; 13449443

本文言語コード: ja

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