Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Dual State-Space Model of Market Liquidity: The Chinese Experience
  2009-2010   This paper proposes and motivates a dynamical model of the Chinese stock
market based on a linear regression in a dual state space connected to the
original state space of correlations between the volume-at-price buckets by a
Fourier transform. We apply our model to the price migration of executed orders
by the Chinese brokerages in 2009-2010. Regulatory brokerage tapes were used to
conduct a natural experiment assuming that tapes correspond to randomly
assigned, informed and uninformed traders. Our analysis demonstrated that
customers' orders were tightly correlated--in a highly nonlinear sense of the
neural networks--with the Chinese market sentiment index, significantly
correlated with the stock returns and exhibited no correlation with the
bellwether bond of the Bank of China. We did not notice any spike of
illiquidity transmitting from the US Flash Crash in May 2010 to trading in
China.

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The categories of this paper are: gr-qc
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The categories of this paper are: stat
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The categories of this paper are: hep-lat
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The categories of this paper are: q-bio
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The categories of this paper are: hep-ex
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The categories of this paper are: solv-int
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The categories of this paper are: astro-ph
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The categories of this paper are: hep-th
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The categories of this paper are: acc-phys
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The categories of this paper are: eess
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The categories of this paper are: math-ph
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The categories of this paper are: alg-geom
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The categories of this paper are: nucl-th
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The categories of this paper are: econ
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The categories of this paper are: q-alg
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The categories of this paper are: cond-mat