The application of Autoregressive Conditional Intensity model to Shanghai stock exchange

Author

Zhang, Xiaoxiao ; Wu, Qizong ; Liu, Feng

Author_Institution

Sch. of Manage. & Econ., Beijing Inst. of Technol., Beijing, China

Volume

3

fYear

2012

fDate

20-21 Oct. 2012

Firstpage

58

Lastpage

61

Abstract

A lot of previous researchers used duration models to analyze ultra-high frequency financial data from Chinese stock market. The likelihood function of those models sometimes are hard to obtain. In fact if we turned to point process theory, the likelihood functions and intensity functions of those counting processes are intuitive simple. And the statistic inferences can be carried out easily. However those models were ignored by Chinese researchers. In this paper, we use Autoregressive Conditional Intensity(ACI) model to analyze two big cap stocks from Shanghai stock market. The empirical results supported the correctness of this model.

Keywords

autoregressive processes; stock markets; ACI model; Chinese stock market; Shanghai stock exchange; Shanghai stock market; autoregressive conditional intensity model; counting processes; duration models; intensity functions; likelihood function; point process theory; statistic inferences; ultra-high frequency financial data; Analytical models; Market microsturture; intentisy models; point process; ultra-high frequency data;

fLanguage

English

Publisher

ieee

Conference_Titel

Information Management, Innovation Management and Industrial Engineering (ICIII), 2012 International Conference on

Conference_Location

Sanya

Print_ISBN

978-1-4673-1932-4

Type

conf

DOI

10.1109/ICIII.2012.6339919

Filename

6339919