The Application Of ACD Model In The Stock Market Trading Information Analysis

This article will introduce the characteristics of high frequency data on the basis of combination of market microstructure theory to make a summary of the ACD model and its new development and WACD, GACD model and the TACD model to empirical research. The ACD model is mainly used for the time interval between the simulated trading, its modeling idea is based ranging interval in the past events on the basis to create the model, the purpose of analysis of transaction duration of the conditional distribution. The creation of this model to the traditional econometric models brought a lot of impact and influence of the advantages of this model is to use a point process with the dynamic of the change interval instead of the duration of the transaction, the current domestic outside most of the scholars have recognized this modeling idea, this modeling idea to mature, and many scholars use and further development of the many derivative ACD model, on the basis of this idea. Development of China’s stock market is still immature compared with foreign financial markets more volatile, empirical studies have shown that simple linear ACD model can not be a good analysis of China’s stock market and therefore require a more complex form of the model. The idea of threshold TACD model was introduced into the thinking of the piecewise linearization method for nonlinear model, using some linear way to show the different stages of the state and reflects the conversion of the market mechanism "jump "phenomenon, so we have a deeper understanding of the microscopic structure of the market. The selection of the linear ACD model and nonlinear ACD model in this article comparative empirical research on the Chinese stock market, to use WinRATS software programming model to estimate, compared to empirical effect, to choose more in line with China’s stock market itself, the characteristics of model assumptions.The innovation of this paper for the TACD model to empirical research on the Chinese stock market data, and comparative analysis of different dynamic characteristics of active stocks and inactive stocks to choose a more rational form of the model. After the ACD model and data into the fitting, so that will play a good predictor of the intensity and frequency of transactions occurring, and thus also an evaluation of liquidity risk. Therefore, this thesis would be the dynamic of the Chinese stock market has a certain reference value, the actual investment transactions, regulatory and general investors and investment institutions operating with a certain reference value.