ESTIMATION METHOD OF STOCK DEALING COST

摘要

PROBLEM TO BE SOLVED: To estimate a dealing cost by separating it into buying cost and a selling cost when a fluctuation factor characteristic of an issue is included in time series data of a stock earning rate. SOLUTION: In estimation of the dealing cost based on a first fluctuation time series Rj (t) and a second fluctuation time series Rm (t) on the stock price of an individual tissue j of the stock, an expected stock earning rate R*j (t) of a specific tissue is defined by a formula; R*j (t)=βj Rm (t)+αj +εj (t) including αj which is an individual fluctuation factor classified by the issue. The right or left deviation of R*j from Rj based on αj is estimated, and intercept terms are determined based thereon. The determined two intercept terms are equivalent respectively to the selling cost and the buying cost.