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From: Prof. Rongning Wu, Paul H. Chook Department of Information Systems and Statistics
The Information Systems and Statistics Research Seminar Series
Presented by the Paul H. Chook Department of Information Systems and Statistics
Spillover effect of information arrivals in security trading
Haipeng Xing, Associate Professor, SUNY Stony Brook
Thursday, March 9, 2017, 12:30pm-1:45pm
NVC 11-217, IS-STA Conference Room
In the standard bivariate mixture distribution model for a single security market, the flow of information arrivals determines the dynamics of stock price volatility and trading volume. Due to the contemporaneous and cross-sectional dependence of information arrivals among several securities, a spillover effect might occur. To model such effect, we extend the mixture distribution hypothesis to the case of multiple securities, and use a latent vector autoregressive process to characterize information arrivals. We further use a stochastic approximation algorithm with Markov chain Monte Carlo method to estimate the dynamics of information arrivals. We apply our models and inference procedure to analyze markets of multiple securities and show the spillover effects in them are significant.
Rongning Wu, Ph.D.
Zicklin School of Business and Graduate Center
The City University of New York
One Bernard Baruch Way, Box B11-220
New York, NY 10010