A Partially Observed Model for Micromovement of Asset Prices with Bayes Estimation via Filtering

A general micromovement model that describes transactional price behavior is proposed. The model ties the sample characteristics of micromovement and macromovement in a consistent manner. An important feature of the model is that it can be transformed to a filtering problem with counting process observations. Consequently, the complete information of price and trading time is captured and then utilized in Bayes estimation via filtering for the parameters. The filtering equations are derived. A theorem on the convergence of conditional expectation of the model is proved. A consistent recursive algorithm is constructed via the Markov chain approximation method to compute the approximate posterior and then the Bayes estimates. A simplified model and its recursive algorithm are presented in detail. Simulations show that the computed Bayes estimates converge to their true values. The algorithm is applied to one month of intraday transaction prices for Microsoft and the Bayes estimates are obtained.     

苎麻纤维轴向压缩性能测试与分析

为研究苎麻纤维的轴向压缩性质,搭建了纤维材料轴向压缩测试装置,探讨了纤维试样制样方法;利用测试装置对生物脱胶精干麻及其经牵切后的纤维进行了轴向压缩测试.研究表明：苎麻纤维的轴向压缩测试对非伸直纤维试样具有自选择性,非伸直的纤维不能输出测试结果;苎麻纤维在进行轴向压缩时会产生弯折现象,其轴向压缩性能可用临界弯曲载荷进行表征;由于苎麻纤维线密度分布的离散性和截面形态的不规则性,其临界弯曲载荷具有较大的离散性.     

中国股票交易价格离散性之研究——基于有序概率模型

离散性是股票交易价格的一个很重要的特征,很多针对交易价格序列建立的计量经济模型都忽略了它的这个特征。以中国证券市场的股票为样本建立有序概率模型,这个模型不但能够捕捉股票交易价格的离散性,还能够深入地探讨交易价格与其他经济变量之间的关系。     

Does Price Discreteness Affect the Increase in Return Volatility Following Stock Splits?

Stock return volatility tends to increase significantly following stock splits. One potential cause of this is the trading of stocks in discrete price intervals called ticks. This study provides a direct test of price discreteness as a determinant of this phenomenon by examining variance increases before and after the 1997 date when the exchanges reduced the tick size from 1/8 to 1/16. Results generally show that the post-split variance increase was unaffected by the reduction in tick size even after controlling for other factors. AMEX stocks proved the exception, with slightly lower variance increases following the tick size reduction.