Proceedings of the 2018 4th International Conference on Economics, Social Science, Arts, Education and Management Engineering (ESSAEME 2018)

Mixed model of stock price impact analysis and its application in bank stock

Authors
Weijia Kong, Mingrui Zhang, Meijun Liu
Corresponding Author
Weijia Kong
Available Online July 2018.
DOI
10.2991/essaeme-18.2018.70How to use a DOI?
Keywords
ARMA model, stock price impact
Abstract

With the rapid development of financial industry, financial automatic trading has gradually become the main business mode in today's social and economic activities. In the asset liquidation market, how to balance price shocks and time risks to ensure the lowest transaction cost is particularly important. In this paper, a reasonable mathematical model is established to fit the stock trend and describe the process of price change impact. The paper takes two stocks: Bank of China (SH601988) and Industrial and Commercial Bank of China (SH601398) as the example. The paper fits the stock trend by using ARMA model and describes the process of price change impact by using Nonlinear least squares regression model and improved ARMA model. The paper test the model by using actual data to test its successful rate, and sensitivity analysis. The result is satisfying.

Copyright
© 2018, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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Volume Title
Proceedings of the 2018 4th International Conference on Economics, Social Science, Arts, Education and Management Engineering (ESSAEME 2018)
Series
Advances in Social Science, Education and Humanities Research
Publication Date
July 2018
ISBN
10.2991/essaeme-18.2018.70
ISSN
2352-5398
DOI
10.2991/essaeme-18.2018.70How to use a DOI?
Copyright
© 2018, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Cite this article

TY  - CONF
AU  - Weijia Kong
AU  - Mingrui Zhang
AU  - Meijun Liu
PY  - 2018/07
DA  - 2018/07
TI  - Mixed model of stock price impact analysis and its application in bank stock
BT  - Proceedings of the 2018 4th International Conference on Economics, Social Science, Arts, Education and Management Engineering (ESSAEME 2018)
PB  - Atlantis Press
SP  - 379
EP  - 384
SN  - 2352-5398
UR  - https://doi.org/10.2991/essaeme-18.2018.70
DO  - 10.2991/essaeme-18.2018.70
ID  - Kong2018/07
ER  -