日本計算工学会論文集
Online ISSN : 1347-8826
ISSN-L : 1344-9443
金融市場における売買スプレッドによる情報評価手法
尹 煕元松本 匡史棚橋 隆彦
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ジャーナル フリー

2002 年 2002 巻 p. 20020002

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We present estimation methodology for market information with Bid-Ask spread. The Bid-Ask spread has been explained as the result from overall market players’ intention in market microstructure theory[1]. We focus on Bid-Ask spread transition after market opening, and interpret it caused by information effect. Our approach is based on modeling methodology for viscoelastic material that can consider memory effect by information in market system. Under the modeling process, we suggest new parameter that related to response effect and relaxation time effect of information in financial market. Lastly we show the model explain Bid-Ask spread transition and try to estimate market information in Japanese equity market empirically.
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© 2002 The Japan Society For Computational Engineering and Science
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