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| 金融超高频数据研究新进展 | |
| 引用本文： | 余德建,吴应宇,周伟,孟笋. 金融超高频数据研究新进展[J]. 华南理工大学学报(社会科学版), 2011, 13(1): 9-13 |
| 作者姓名： | 余德建 吴应宇 周伟 孟笋 |
| 作者单位： | 东南大学,经管学院,江苏,南京,211189 |
| 摘 要： | 对超高频数据进行建模与分析,已成为国际、国内的金融学研究热点之一。最近几年,对金融超高频数据的研究有很多新的进展,通过对超高频数据的交易时间、标值两个方面的分析,较全面地总结了金融超高频数据研究新进展。最后对其研究的新进展予以简要的评析,并指出未来对金融超高频数据研究的方向。 |
| 关 键 词： | 金融超高频数据 ACD模型 SCD模型 微观结构 |
Progress in the Study of Financial Ultra-high Frequency Data |
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| Yu De-jian,Wu Ying-yu,Zhou Wei,Meng Sun. Progress in the Study of Financial Ultra-high Frequency Data[J]. Journal of South China University of Technology(Social Science Edition), 2011, 13(1): 9-13 | |
| Authors: | Yu De-jian Wu Ying-yu Zhou Wei Meng Sun |
| Affiliation: | Yu De-jian Wu Ying-yu Zhou Wei Meng Sun(School of Economics and Management,Southeast University,Nanjing 211189,Jiangsu,China) |
| Abstract: | Modeling and analysis of the UHF data has become one of the international and domestic research topics.In recent years,research on financial ultra-high frequency data has gained some new developments.This article,based on the analysis of the trading hours and value of the ultra-high frequency data,reviews the newly development of the study of financial high frequency data and points out its future progress. |
| Keywords: | ultra-high frequency financial data ACD model SCD model microstructure |
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