金融高频数据和超高频数据的研究现状及展望

金融高频数据和超高频数据的研究是金融计量学的一个全新的研究领域,研究的基本动因在于,一是对金融高频数据和超高频数据本身所具有的特征的关注,二是对理解金融市场的微观结构来说相当重要.当前这一领域从统计特征、"日历效应"、微观结构、建模等方面得到了一些研究的理论和实证成果.金融高频数据和超高频数据的研究中存在诸如:模型、微观结构误差等问题,未来金融高频数据和超高频数据研究趋势与方向应在波动持续性、风险度量等方面.

High Frequency and Ultra-high Frequency Financial Data:Its Current Development and Future Prospects

High Frequency and Ultra-high Frequency Financial Data is a brand new research area in financial econometrics.It is focused on the data itself and its importance in understanding the micro-structure of the financial marketr.Currently,some progress has been made in the study of this theory and empirical research covering the characteristics of the data,calendar effects,micro-structure of the financial market,the data's modeling,and the micro-structure error.The future challenge of the research will likely be on areas such as volatility persistence,risk measure,etc.