摘要
在高频数据中,交易持续时间序列,交易量序列和收益率平方序列都存在长记忆现象。本文采用半参数方法,对同一只股票的上述三种序列的长记忆参数进分析比较,结果显示,三种序列都存在长记忆现象,而且同一只股票的上述三种序列具有相同的长记忆参数。这些结果为微观市场的相关理论提供了实证。
In the high frequency data, duration, volume and square returns are long memory phenomena. In this article, we use the semi-parameters method to compare and analyze the long memory parameters of above three series which belong to the same stock. The results show that, for the same stock, there are long memory phenomena in three kinds of sequences, and all of them with the same long memory parameters. These results provide empirical foundation for relevant market microstructure theory.
出处
《数理统计与管理》
CSSCI
北大核心
2014年第4期628-633,共6页
Journal of Applied Statistics and Management
关键词
高频数据
交易持续时间
长记忆参数
high frequent data, duration of transaction, long memory parameter
