AVERAGE HOLDING PRICE

Yehong Liu and Guosheng Yin
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Yehong Liu: Department of Statistics and Actuarial Science, The University of Hong Kong, Pokfulam Road, Hong Kong
Guosheng Yin: Department of Statistics and Actuarial Science, The University of Hong Kong, Pokfulam Road, Hong Kong

Annals of Financial Economics (AFE), 2018, vol. 13, issue 01, 1-20

Abstract: We introduce a new concept of the average holding price (AHP) in the stock market. We show that, under certain assumptions on the investors’ behaviors, the AHP of a stock can be estimated using the historical trading prices and volumes. In contrast to the moving average of the stock price or the volume weighted average price, the AHP serves as a more objective benchmark for estimating the average profit or loss level of the stockholders. The algorithms for estimating the AHP are developed. Simulation studies show that the true AHP can be estimated accurately using our algorithm.

Keywords: Market average gain; moving average; stock market; trading strategy; volume weighted average price (search for similar items in EconPapers)
Date: 2018
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DOI: 10.1142/S2010495218500021

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