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Average Holding Price

Author

Listed:
  • 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)

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.

Suggested Citation

  • Yehong Liu & Guosheng Yin, 2018. "Average Holding Price," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 13(01), pages 1-20, March.
    • Handle: RePEc:wsi:afexxx:v:13:y:2018:i:01:n:s2010495218500021
    DOI: 10.1142/S2010495218500021
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    References listed on IDEAS

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