Abstract
We investigate the modeling and forecasting of the intra-daily volume time series in Chinese stock market with an application to dynamic Volume Weighted Average Price (VWAP) method. The empirical results show that: (1) This method performs better than the traditional static VWAP strategy; (2) By adjusting time scale (time window) and the composition of the stock portfolio according to the principal component analysis method, we can further improve the forecasting accuracy of the stock turnover series; (3) There is significant long memory characteristic in the special component of the turnover series when using the dynamic VWAP method, however, we find that it can not improve the prediction of turnover series by using ARFIMA model on these series. We also analyze the reasons and provide some explanations.
- 1
The SSE 50 Index contains the 50 largest stocks that exhibit good liquidity and are representative of the Shanghai securities market. The objective of the Index is to provide a complete picture of these high-quality, large enterprises, which are the most influential in the Shanghai securities market.
Appendix
Ticker of 50 stocks.
Initials | Industry | Ticker | Tradable share | Corporation |
---|---|---|---|---|
PFYH | Banking | SH600000 | 1,355,000,000 | Shanghai Pudong Development Bank Co.Ltd. |
HXYH | SH600015 | 1,686,600,000 | Hua Xia Bank Co., Ltd. | |
MSYH | SH600016 | 12,099,182,515 | China Minsheng Banking Co., Ltd. | |
ZSYH | SH600036 | 7,373,435,255 | China Merchants Bank Co., Ltd | |
XYYH | SH601166 | 701,000,000 | Industrial Bank Co., Ltd. | |
JTYH | SH601328 | 25,297,713,477 | Bank Of Communications Co., Ltd. | |
GSYH | SH601398 | 95,121,891,962 | Industrial And Commercial Bank Of China Limited | |
ZGYH | SH601988 | 81,228,045,269 | Bank Of China Limited | |
HDGT | Steel | SH600001 | 2,468,852,274 | Handan Iron & Steel Co., Ltd. |
BGGF | SH600010 | 2,720,313,918 | Inner Mongolian Baotou Steel Union Co., Ltd. | |
WGGF | SH600005 | 3,135,200,000 | Wuhan Steel Processing Co., Ltd. | |
BGGF | SH600019 | 5,611,082,559 | Baoshan Iron & Steel Co., Ltd. | |
SNGF | Power | SH600642 | 1,394,654,360 | Shenergy Co., Ltd. |
CJDL | SH600900 | 4,909,379,777 | China Yangtze Power Co., Ltd. | |
GDDL | SH600795 | 1,717,007,602 | Gd Power Development Co., Ltd. | |
HNGJ | SH600011 | 5,825,365,945 | Huaneng Power International Co., Ltd. | |
SHJC | Transportation | SH600009 | 997,128,475 | Shanghai International Airport Co., Ltd. |
ZGGH | SH601111 | 5,694,683,364 | Air China Limited | |
BYJC | SH600004 | 496,960,000 | Guangzhou Baiyun International Airport Co., Ltd. | |
NFHK | SH600029 | 2,174,178,000 | China Southern Airlines Co., Ltd. | |
ZYHY | SH600428 | 359,519,556 | Cosco Shipping Co., Ltd. | |
SGJT | SH600018 | 7,992,405,444 | Shanghai Port Container Co. Ltd. | |
ZHFZ | SH600026 | 1,747,500,000 | China Shipping Development Co., Ltd. | |
TJG | SH600717 | 868,140,653 | Tianjin Port Co., Ltd. | |
DQTL | SH601006 | 2,602,226,030 | Daqin Railway.Co Ltd. | |
ZGLT | Electric Information | SH600050 | 9,382,107,840 | China United Network Communications Limited |
TFGF | SH600100 | 384,625,315 | Tongfang Co., Ltd. | |
FZKJ | SH600SH601 | 1,726,486,674 | Founder Technology (Group) Corp. | |
ZGSH | Oil | SH600028 | 25,279,516,507 | China Petroleum & Chemical Corporation |
HYGC | SH600583 | 475,554,233 | Offshore Oil Engineering Co., Ltd. | |
SSH | SH600688 | 720,000,000 | Sinopec Shanghai Petrochemical Co., Ltd. | |
ZGRS | Finance | SH601628 | 8,341,175,000 | China Life Insurance Company Limited |
ZGPA | SH601318 | 3,363,643,698 | Ping An Insurance (Group) Company Of China, Ltd. | |
ZXZQ | SH600030 | 2,791,558,393 | Citic Securities Co., Ltd. | |
ZGLY | Non-ferrous Metals | SH601SH600 | 5,092,043,325 | Aluminum Corporation Of China Limited |
JXTY | SH600362 | 1,670,002,786 | Jiangxi Copper Co., Ltd. | |
BLDC | Real Estate | SH600048 | 525,942,071 | Poly Real Estate Group Co. Ltd. |
YGE | Apparel & Footwear | SH600177 | 1,231,715,510 | Youngor (Group) Co., Ltd. |
GYGS | Highway Bridge | SH600269 | 619,122,692 | Jiangxi Ganyue Expressway Co., Ltd. |
YTWH | Chemical | SH600309 | 823,426,464 | Yantai Wanhua Polyurethanes Co., Ltd. |
ZHZG | Mechanism | SH600320 | 1,360,210,600 | Shanghai Zhenhua Heavy Industry Co., Ltd. |
ZJGK | Development Zones | SH600895 | 582,485,588 | Shanghai Zhangjiang Hi-Tech Park Development Co., Ltd. |
YZMY | Coal | SH600188 | 2,318,338,200 | Yanzhou Coal Mining Co., Ltd. |
AYGF | SH600397 | 133,116,030 | Anyuan Industrial Co., Ltd. | |
GZMT | Brewery | SH600519 | 407,930,966 | Kweichow Moutai Co., Ltd. |
SQJT | Automobile | SH600104 | 1,644,551,542 | Saic Motor Corporation Limited |
TRT | Biopharming | SH600085 | 194,252,385 | Beijing Tongrentang Co., Ltd. |
YLGF | Food | SH600887 | 606,460,978 | Inner Mongolia Yili Industrial (Group) Co., Ltd. |
DFMZ | Comprehensive | SH600832 | 943,975,391 | Shanghai Oriental Pearl (Group) Co., Ltd. |
GHYX | Medium | SH600037 | 583,253,814 | Beijing Gehua Catv Network Co., Ltd. |
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©2014 by Walter de Gruyter Berlin/Boston
Articles in the same Issue
- Frontmatter
- Assessing the quality of volatility estimators via option pricing
- Forecasting trading volume in the Chinese stock market based on the dynamic VWAP
- Saddle-node bifurcations in an optimal growth model with preferences for wealth habit
- Time-varying fiscal policy in the US
- Are income differences within the OECD diminishing? Evidence from Fourier unit root tests
- Fiscal policy in the BRICs
Articles in the same Issue
- Frontmatter
- Assessing the quality of volatility estimators via option pricing
- Forecasting trading volume in the Chinese stock market based on the dynamic VWAP
- Saddle-node bifurcations in an optimal growth model with preferences for wealth habit
- Time-varying fiscal policy in the US
- Are income differences within the OECD diminishing? Evidence from Fourier unit root tests
- Fiscal policy in the BRICs