Thus,it can measure the stock price impact coefficient from trade volume,and at the same time explain the auto-correlation and heteroscedastic characteristic of price variation.

Empirical analysis is carried out aiming at elimination of errors in sample system with matching technology,asymmetry in price impact and the relationship between this asymmetry and market condition under different situations in China s securities market.

This paper use linear model and non-linear model to describe oil price shocks,than import it into VAR model,use impulse response function、variance decomposition and elasticity analysis to learn the impacts of oil price shocks.

On the one hand, oil price shocks affect the economic through oil price itself directly, and on the other hand it also can affect the economic through the tightening monetary policy indirectly.

Implicit Trading Cost Based on Nonlinear Price Impact in Shanghai Stock Market;