| 内幕交易实时监控系统的构建——基于GARJI模型的实证研究 |
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| 引用本文： | 黄素心,王春雷.内幕交易实时监控系统的构建——基于GARJI模型的实证研究[J].广东金融学院学报,2011,26(4). |
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| 作者姓名： | 黄素心 王春雷 |
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| 作者单位： | 1. 广西民族大学 商学院,广西南宁,530006
2. 广西大学 商学院,广西南宁,530004 |
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| 基金项目： | 国家自然科学基金项目(70573034) |
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| 摘 要： | 从信息抵达和动态跳跃特征的角度研究内幕交易的事中监管,构建了基于GAR JI模型的实时监控系统。从兼顾漏报和错报率的角度出发,提出了两档基于异常信息抵达概率和股价涨跌幅的内幕交易预警标准,保证了预警的功效。针对案例股票的模拟监控实验表明,该系统效果良好,适用于当前股市。
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| 关 键 词： | 内幕交易 实时监控 信息抵达 预警 |
The Construction of Insider Trading Real-time Monitor System: An Empirical Research based on GARJI Model |
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| Huang Suxin,Wang Chunlei.The Construction of Insider Trading Real-time Monitor System: An Empirical Research based on GARJI Model[J].Journal of Guangdong University of Finance,2011,26(4). |
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| Authors: | Huang Suxin Wang Chunlei |
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| Institution: | Huang Suxin1 and Wang Chunlei2(1.School of Business,Guangxi University for Nationalities,Nanning 530006,China,2.School of Business,Guangxi University,Nanning 530004,China) |
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| Abstract: | This paper investigated the real time regulation of insider trading from the aspect of information arrival and dynamic jump character.A real-time monitor system based on GARJI model was proposed.To consider both omitted rate and false rate,two early warning criterions,which based on the probability of abnormal news'arrival and the range of price changed,are suggested to assure the efficiency of early warning is guaranteed.Using the case study methodology,we carried out the real-time monitor on eight stocks,... |
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| Keywords: | insider trading real-time monitor information arrival early warning |
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