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Research On The Relationship Between Put Call Ratio And Average Price Change Ratio Based On The Threshold Vector Error Correction Model

Posted on:2018-04-19Degree:MasterType:Thesis
Country:ChinaCandidate:J N ZhangFull Text:PDF
GTID:2359330515974351Subject:Applied Statistics
Abstract/Summary:PDF Full Text Request
In this paper,we mainly study on how the put call ratio and average price change ratio in the three days are related when using the threshold vector error correction model(TVECM).TVECM with a single threshold cointegrating vector is employed the relationship.We can know that the TVECM can capture characteristics of the correlation between the put call ratio and price change ratio from the results.There is different adjustment intensity in the different regime,when it causes the deviation from the equilibrium,the error correction mechanism will promote the price to the equilibrium with strong efforts.
Keywords/Search Tags:put call ratio, threshold vector error correction model
PDF Full Text Request
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