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Message Archive



Wednesday, March 1, 2017

 

This email is being sent to all members of the Baruch College faculty.

For an archive of announcements sent from the Associate Provost beginning June 2011, click here.

 

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.
Associate Professor
Zicklin School of Business and Graduate Center
The City University of New York
One Bernard Baruch Way, Box B11-220
New York, NY 10010
rongning.wu@baruch.cuny.edu
Tel: 646-312-3404
Fax: 646-312-3351