Price Time Series And Its Local Extremum Analysis

Based on the microstructure of the financial market,this article focus on the several points as following.Firstly, to model the price process from the perspective of random process,frequency domain and the Price formation mechanism system;Secondly,to take a local fitness analysis and volatility analysis to the time series;Thirdly,to give a definition to the extreme value and the local inversion and construct a statistic to test the hypothesis of local price extreme value;lastly,to design trading strategies based on the statistic and make empirical research and analysis.