内幕交易实时监控系统的构建——基于GARJI模型的实证研究  

The Construction of Insider Trading Real-time Monitor System: An Empirical Research based on GARJI Model

作　　者：黄素心[1] 王春雷[2] 

机构地区：[1]广西民族大学商学院,广西南宁530006 [2]广西大学商学院,广西南宁530004

出　　处：《广东金融学院学报》2011年第4期68-77,共10页Journal of Guangdong University of Finance

基　　金：国家自然科学基金项目(70573034)

摘　　要：从信息抵达和动态跳跃特征的角度研究内幕交易的"事中监管",构建了基于GAR JI模型的实时监控系统。从兼顾漏报和错报率的角度出发,提出了两档基于异常信息抵达概率和股价涨跌幅的内幕交易预警标准,保证了预警的功效。针对案例股票的模拟监控实验表明,该系统效果良好,适用于当前股市。This paper investigated the real time regulation of insider trading from the aspect of information arrival and dynamic jump character.A real-time monitor system based on GARJI model was proposed.To consider both omitted rate and false rate,two early warning criterions,which based on the probability of abnormal news＇arrival and the range of price changed,are suggested to assure the efficiency of early warning is guaranteed.Using the case study methodology,we carried out the real-time monitor on eight stocks,which successfully proved the effects of the monitor system.

关 键 词：内幕交易 实时监控 信息抵达 预警 

分 类 号：F830.91[经济管理—金融学]