High-Frequency Data Extreme Value Of The Stock Market Statistical Characteristic And Changes Research

This article is the analysis which based on the characteristics of high frequency data. Studying statistical characteristic and changes characteristic 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 application with a high frequency data is not equal time intervals for economic model, General Autoregressive Conditional Heteroskedasticity model the duration of the conditions of the model, to describe is very active in the long term process. And follow the microscopic variables EGARCH model, Empirical analysis of new material application,(300128) the stock, and deduced for each change characteristics corresponding to the conclusion.The forth 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 that600188YanZhou 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 the third chapter of model establishment and innovation, deduction and empirical out change characteristics of several useful conclusions; In chapter forth 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...