The Investigation Of Micromarkets Structure Base On High-Frequency Data

This article is the analysis which based on the characteristics of high frequency data. Studying the periodicity and volatility aspect of financial market's high frequency data in development. Show out the relative complete study of financial high frequency data analysis at the microeconomic market structure. The second chapter is the study of the basic characteristics of the high frequency microeconomic market structure, the time interval,transaction return and prices, transactions, trading relationship between bid and ask. Asynchrinous. Autocorrelation and follow the lead to a transaction sequence of the relevance of negative return. The third chapter analyses the periodic characteristics of financial high frequency data, irregular intervals, the transaction value dispersion, the daytime mode, relevance,and combine examples to give concrete conclusion. The fourth chapter application with a high frequency data is not equal time intervals for economic model, Autoregressive Conditional Duration model the duration of the conditions of the model, to describe is very active in the long term process. And follow the microscopic variables ACD model, the result of long term business, the paper is short of time interval, usually followed short of time interval, a long time interval, usually with the deal with the time interval. Business transactions bid and ask peace are, transaction volume for most of the stock, it has obvious negative effects. The fifth chapter gives a volatility that differ from the low frequency data. Deal with the volatility of high frequency data "realized" volatility and the nature of research, theory and method of derivation instance analysis. From an amendment to the microscopic structure of the noise factor, high frequency transaction based first-order deviation correction on data and adopt a step, an approach could estimate that 600188 YanZhou YCM "realized" volatility. The results indicate: based on the deal of data "realized" volatility effectively improve the volatility of the units true precision, so we can relevant research related to provide a reference to the base of the volatility.This innovation points of this article:In chapter two insynchronized sequence of transactions led to the close of that negative. In chapter four of the model innovation and exogenous variables, and increase business ACD model and the introduction of the average volume of the model ACD; In chapter five for error correction in the "realized" volatility in the world's proved. Finally, the conclusion of the paper for real-time trading and traders foundation can help reduce risks and long term. for the loss of business, bid and ask, the introduction of the transaction can prevent many men have been achieved. "realized" volatility of financial products and wave aspect of research and investment decisions will have to be underestimated. the role of our securities market also help but a clearer understanding of the structure, and standardize and improve market system and strengthen the information.