Jianqiang Sun

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We use methods of random matrix theory (RMT) to investigate the information content of the cross correlation matrix C of Shanghai stock exchange (SSE) for the period Jan 2, 2001 to May 30, 2008. We find that, the statistics of most of the eigenvalues in the spectrum of C agree with the predictions of random matrix theory, 92.6% of the eigenvalues fall(More)
A quasi-analytical pricing method for arithmetic Asian option is presented based on an approximate relation between the geometric and arithmetic average of the log-normal random variables. With a generalized mean function, we use a Taylor expansion in terms of the geometric average value of the underlying assets to approximate the arithmetic average value.(More)
The authors investigate the relationship between public information and market activities by utilizing event studies and employing data from the stock markets in Mainland China. The major findings are: (1) Public information has significant impact on market activity in Chinese stock markets. (2) Both pre-disclosure and lagged reactions exist or the markets(More)
—Sun et al (2008) developed a quasi-analytical pricing model for arithmetic Asian option bases on an approximate relationship between the geometric and arithmetic average of the log-normal random variable. We perform extensive numerical experiments to investigate the accuracy of the model. The numerical evidences show that the accuracy of the method depends(More)
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