政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/60933

English | 正體中文 | 简体中文 | Post-Print筆數 : 27 | Items with full text/Total items : 113648/144635 (79%)
Visitors : 51584851 Online Users : 813

RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.

Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer

政大典藏 > College of Social Science > Department of Economics > Periodical Articles > Item 140.119/60933

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/60933

Title:	Price Errors from Thin Markets and Their Corrections: Studies Based on Taiwan`s Political Futures Markets
Authors:	Chen,Shu-Heng;Wu,Wei-Shao
Contributors:	政大經濟系
Date:	2009
Issue Date:	2013-09-16 17:25:14 (UTC+8)
Abstract:	While it has been claimed in many empirical studies that the political futures market can forecast better than the polls, it is unclear upon which our forecast should be based. Standard practice seems to suggest the use of the closing price of the market, as a reflection of the continuous process of information revealing and aggregation, but we are unsure that this practice applies to thin markets. In this chapter, we propose a number of reconstructions of the price series and use the closing price based on these reconstructed series as the forecast. We then test these ideas by comparing their forecasting performance with the closing price of the original series. It is found that forecasting accuracy can be gained if we use the closing price based on the smoothing series rather than the original series. However, there is no clear advantage by either using more sophisticated smoothing techniques, such as wavelets, or using external information, such as trading volume and duration time. The results show that the median, the simplest smoothing technique, performs rather well when compared with all complications.
Relation:	Advances in Econometrics, 24, 1-25
Data Type:	article
DOI link:	http://dx.doi.org/10.1108/S0731-9053(2009)0000024004
DOI:	10.1108/S0731-9053(2009)0000024004
Appears in Collections:	[Department of Economics] Periodical Articles

Files in This Item:

File	Description	Size	Format
Price_errors.pdf		572Kb	Adobe PDF2	964	View/Open

社群 sharing

著作權政策宣告 Copyright Announcement

1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.

Loading...