Nowcast of firm sales using POS data toward stock market stability

2016 ◽  
Author(s):  
Atushi Ishikawa ◽  
Shouji Fujimoto ◽  
Takayuki Mizuno
Keyword(s):  
Stock Market ◽  
Market Stability ◽  
Pos Data

Roles of GARCH and ARCH effects on the stability in stock market crash

2021 ◽  
Author(s):  
Hai-Feng Li ◽  
Dun-Zhong Xing ◽  
Qian Huang ◽  
Jiangcheng Li
Keyword(s):  
Stock Market ◽  
Market Price ◽  
Nonequilibrium Dynamics ◽  
Escape Time ◽  
Theoretical Simulation ◽  
Market Stability ◽  
Share Data ◽  
Escape Process ◽  
The Stability ◽  
The Impact

Abstract We theoretically stochastic simulate and empirically analyze the escape process of stock market price nonequilibrium dynamics under the influence of GARCH and ARCH effects, and explore the impact of ARCH and GARCH effects on stock market stability. Based on the nonlinear GARCH model of econophysics, and combined with GARCH and ARCH effects of volatility, we propose a delay stochastic monostable potential model. We use the mean escape time, or mean hitting time, as an indicator for measuring price stability, as first introduced in Ref. [1]. Based on the comparative analysis of actual Chinese A-share data, the theoretical and empirical findings of this paper are as follows} (1) The theoretical simulation results and actual data are consistent. (2) There exist optimal GARCH and ARCH effects maximally enhancing stock market stability.

Stock market stability index: An intelligent approach

2009 ◽  
Vol 13 (6) ◽  
pp. 983-993 ◽  
Author(s):  
Il Suh Son ◽  
Kyong Joo Oh ◽  
Tae Yoon Kim ◽  
Chiho Kim ◽  
Jong-Du Do
Keyword(s):  
Stock Market ◽  
Stability Index ◽  
Market Stability ◽  
Intelligent Approach

Stock market stability: Diffusion entropy analysis

2016 ◽  
Vol 450 ◽  
pp. 462-465 ◽  
Author(s):  
Shouwei Li ◽  
Yangyang Zhuang ◽  
Jianmin He
Keyword(s):  
Stock Market ◽  
Entropy Analysis ◽  
Market Stability ◽  
Diffusion Entropy
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