Proceedings of the Fuzzy System Symposium
29th Fuzzy System Symposium
Session ID : MG1-3
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Host: Japan Society for Fuzzy Theory and Intelligent Informatics (SOFT)

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A Simple Estimation of Risk Averse degree in Security Market
*Hisashi Hashimoto
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Keywords: market liquidity, effective spread, risk aversion
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Abstract
In this paper, I present the simple estimation of trader’s risk averse degree expanding Roll (1984) model.
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© 2013 Japan Society for Fuzzy Theory and Intelligent Informatics
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