An Emprical Research On The Stock Market High-frequency Data Of TISCO

The TISCO stock's price fluctuated obviously since the second half of2011,TISCO facedgreater market pressures and management problems.The12thfive-year plan which chaired byprofessor Zhang Suodi clarify the corporate mode of economic development.Under the auspices ofthe subject,this paper analyzed the stock market high-frequency data and the TISCO stockliquidity,stability,price volatility and the effectiveness of information delivery.The author revealedthe problem of management in TISCO,and give a solution.The main work is as follows.1. The author collect and organize the high-frequency data of TISCO stock and get durationdata,the average daily price of the fixed duration,days of trading volume and super-thresholdvolume of data out of stock trading by dealing with the data. The transaction duration showedobvious"inverted U" days effects.I construction a new method for removing the days effect,Thisoperation improved the degree of dispersion of the sample sequence.2. The author has portrayed and analysised the characteristics of TISCO stock's high-frequencydata with the method of numerical approximation,the WACD model super-threshold tail analysisand the market microstructure theory.There were clustering of the transaction duration and stockliquidity.Days of trading volume and the tail index affect stock liquidity and stock price volatility.3.With the stock characteristics of TISCO,The author revealed the business management issuesof TISCO. Combine the actual situation of TISCO,The author pointed out that the enterprise hadsome problems in the management,there was lack of concern on the stock price and the companywas also facing short-term financing problem.