The Acd Model Of Empirical Research, The Duration Of The Shanghai Stock Market

The research about the theory of market micromechanism is to discover the process in which the price for exchanging is formed and to guide the bargainer to exchange at the price both can accept as soon as possible. In the stock exchange, the trade duration and the quote duration reflect the important information about market exchange. So it has great effect on bargainer's behavior and the flowing liquidity of the Stock Exchange.For test the infection of the trade duration and the quote duration in stock exchange, The paper chooses three stocks in Shanghai Stock Exchange to study their trade duration and quote duration with ACD model bring forward by Engle and Russel, discuss the characters related to it and check the extent between the bivariate ACD model and China Stock Exchange Market.The research shows:(1) The two kinds of duration have"calendar effect", and showing U-shape.(2) The duration of the quote reacts faster to the information than the trade duration.(3) The the bivariate point process and the bivariate ACD model tally well with China Stock Exchange.