Abstract
Recent years have witnessed more and more frequent abnormal fluctuations in stock markets and thus it is important to real-time monitor dynamically such fluctuations. To that end, this paper first proposes a realized trading volatility (RTV) model and analyzes its properties. Next, based on the RTV model, it develops a critical jump point test for the joint volatility of volume and price using matrix singular values. Finally, the proposed models are evaluated on the minute transaction data of China’s Shanghai and Shenzhen A-share stock markets over 2009.01.05–2009.03.31. With the PV, VV and RTV sequence values extracted from the transaction data, case studies are performed on certain stocks and empirical suggestions are offered for the maintenance of the stability of the market index.
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Acknowledgments
This work was supported by Department of Education of Jiangxi Province, PR China, through Grant No. GJJ14525.
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Ai, XW., Hu, T., Bi, GP., Lei, CF., Xiong, H. (2017). Discovery of Jump Breaks in Joint Volatility for Volume and Price of High-Frequency Trading Data in China. In: Li, G., Ge, Y., Zhang, Z., Jin, Z., Blumenstein, M. (eds) Knowledge Science, Engineering and Management. KSEM 2017. Lecture Notes in Computer Science(), vol 10412. Springer, Cham. https://doi.org/10.1007/978-3-319-63558-3_15
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DOI: https://doi.org/10.1007/978-3-319-63558-3_15
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