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| 高频金融时间序列的模型化研究进展回顾 | |
| 引用本文： | 张洪水,程刚,陆凤彬.高频金融时间序列的模型化研究进展回顾[J].数学的实践与认识,2011,41(3). |
| 作者姓名： | 张洪水 程刚 陆凤彬 |
| 作者单位： | 1. 中国科学院研究生院,管理学院,北京,100190 2. 中国科学院研究生院,数学科学学院,北京,100049 3. 中国科学院,数学与系统科学研究院,北京,100190 |
| 基金项目： | 国家自然科学基金(70801003); 上海市智能信息处理重点实验室开放课题(IIPL-09-008) |
| 摘 要： | 从高频和超高频金融数据的基本统计特征出发,回顾了(超)高频金融时间序列模型化研究的发展历程及相关特征,并详细介绍了高频数据模型研究中针对久期序列建立ACD模型族的研究与进展.对ACD模型族,介绍了两种主要类型:强ACD模型和弱ACD模型.最后展望了高频金融时间序列中ACD模型的研究. |
| 关 键 词： | (超)高频金融时间序列 ARCH类模型 久期 ACD模型 |
A Review of the Modeling Development of High Frequency Time Series |
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| ZHANG Hong-shui,CHENG Gang,LU Feng-bin.A Review of the Modeling Development of High Frequency Time Series[J].Mathematics in Practice and Theory,2011,41(3). | |
| Authors: | ZHANG Hong-shui CHENG Gang LU Feng-bin |
| Institution: | ZHANG Hong-shui~1,CHENG Gang~2,LU Feng-bin~(1,2,3) (1.Management School of Graduate University of Chinese Academy of Sciences,Beijing 100190,China) (2.School of Mathematical Sciences,Graduate University of Chinese Academy of Sciences,Beijing 100049,China) (3.Academy of Mathematics and Systems Science,Chinese Academy of Sciences,China) |
| Abstract: | Begin with the introduction of the basic statistical features of(Ultra) High Frequency financial data,and then we review the development of the modeling of high frequency time series and their characteristics.Specially,we introduce the conception of duration of ultra high frequency time series,the modeling of duration after its elimination of calendar effects and the development of the family of ACD models,including both the strong form and the weak form.At last,we look forward to the future development of ... |
| Keywords: | (Ultra) high frequency time series ARCH duration ACD |
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