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Leilei Shi

  1. Does Security Transaction Volume-Price Behavior Resemble a Probability Wave?.

    Чт, 01/07/2010 - 16:01 — SomNambul
    Authors: Leilei Shi
    Subjects: Trading and Market Microstructure
    Abstract

    Motivated by how transaction amount constrain trading volume and price
    volatility in stock market, we, in this paper, study the relation between
    volume and price if amount of transaction is given. We find that accumulative
    trading volume gradually emerges a kurtosis near the price mean value over a
    trading price range when it takes a longer trading time, regardless of actual
    price fluctuation path, time series, or total transaction volume in the time
    interval.

  2. A Trading Conditioning Model in Stock Market.

    Ср, 01/06/2010 - 16:01 — SomNambul
    Authors: Leilei Shi, Yiwen Wang, Ding Chen, Liyan Han, Yan Piao, Chengling Gou
    Subjects: Trading and Market Microstructure
    Abstract

    We develop a theoretical trading conditioning model subject to price
    volatility and return in terms of market psychological behavior, based on a
    volume-price probability wave distribution in which we use transaction volume
    probability to describe price volatility uncertainty and intensity.

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