Shengzhen Stock Market (Ultra) High Frequency Data Analysis

The development of computing facilities and computing method have greatlyinduced the cost of collecting and storing data, which make it possible to analysisbigger database, and so the study of finance high frequency data. The study offinance high frequency data is a brand new field in China;it not only changed someold study method, but also challenged the classic economy theory. The characteristicof high frequency data bring to us not only more detailed information, but alsoproblems no body had ever faced.In the first chapter, an introduction to the statement of stock market analysisand modeling has been given, and I studied the meaning and challenging of studyinghigh frequency data, as well as the academic study of high frequency data both inside China and out of China.The empirical study starts from the third chapter. An introduction of theShengzhen stock market is given, and is compared with international stock marketsand analysis the reason of the difference. Empirical study of season effect, especiallyweekly effect was given in the latter part of chapter three. In the forth chapter,several models are introduced, such as, ARCH, GARCH, IGARCH, EGARCH,GARCH-M, ACD, LOG-ACD, TACD, FIACD, etc. empirical study of Shenzhenstock market with these models was given in chapter five, and the result isencouraging.