The Study Of Dynamic Relationship Between Volume-Price Based On High-Frequency Data

Recently with the development of computing technology and electronic trading systems, as well as the falling of transaction costs, the data acquisition and processing methods in the financial markets have been improved, and it is becoming more convenient to obtain high-frequency data. Because of containing a wealth of market information, the financial high-frequency data is becoming the hot research topics of the financial sector in the current. With the gradual deepening of the financial market microstructure research, the researchers are required to pay more attention to use high-frequency data on the research on the characteristics of the market and related conduct.The relationship of volume-price has long been subject to widespread attention in the financial sector, with a very high academic status and research value. There is a static relationship between the change of volume-price in China's stock market, and also has a more distinct dynamic relationship. The paper aims to explore the dynamic relationship between stock volume-price further using the latest high frequency data of the stock market.First some basic knowledge of the financial market microstructure is introduced on the basis of past research,and the basic concepts and features of high-frequency data are defined. The transaction interval and the transaction price change, as the two kinds of econometric models of high-frequency data, will be introduced. This will be of very great significance for empirical analysis based on high frequency data. Secondly, the price-volume relation theory will be reviewed. The relationship of trading volume and volatility has been a focus in the financial sector, and the past scholars concern with the low-frequency data primarily, so it is necessary to do empirical study the relationship between volatility and volume using high frequency data.To build the GARCH model on this basis, and combine the mean value equation form of structure of ARMA, to build the ARMA-GARCH prediction model of describing the volume-price relationship. Based on DCC-GARCH model to do parameter estimation and testing, and make an empirical analysis on volume-price relationship of stock using high-frequency data. The results show that the dynamic relationship between the volume and price is not constant, and has the sustainability and time variability, and there is a strong volatility along with the stream render in the market.