Please use this identifier to cite or link to this item: https://ah.nccu.edu.tw/handle/140.119/50622


Title: Price Errors from Thin Markets and Their Corrections: Studies Based on Taiwan's Political Futures Markets
Authors: 陳樹衡
Chen, Shu-Heng;Wu, Wei-Shao
Contributors: 政治大學經濟系
Date: 2009
Issue Date: 2011-07-28 10:36:25 (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, Vol.24, pp.1-25
Data Type: article
DOI 連結: http://dx.doi.org/
Appears in Collections:[經濟學系] 期刊論文

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