Title :
Research on the Trade Duration of HS300 Index Based on ACD Model
Author :
Yulin Ma ; Yuan Zhao
Author_Institution :
Sch. of Mathematic & Quantitative Econ., Shandong Univ. of Finance & Econ., Jinan, China
Abstract :
This paper analyses the trade duration of HS300 index ultra-high frequency data using ACD model. First, we research the amplitude characteristics of the volatility in spatial direction, and analyze the density characteristics of the volatility in time axis. Then from the angle of the three-dimensional we make a comprehensive analysis on high frequency data in space and time. Finally, by constructing an EACD (1, 1) model to fit transaction duration, we find that there exists a bigger fluctuation in the transaction duration, and that sometimes trade is in a state of very inactive.
Keywords :
autoregressive processes; commerce; data analysis; stock markets; ACD model; EACD (1, 1) model; HS300 index ultra-high frequency data; autoregressive conditional duration model; financial market; spatial direction; time axis; trade duration; transaction duration; volatility amplitude characteristics; volatility density characteristic analysis; Analytical models; Correlation; Data models; Fluctuations; Indexes; Mathematical model; ACD Model; Trade Duration; Ultra-high frequency data;
Conference_Titel :
Computational Intelligence and Security (CIS), 2013 9th International Conference on
Conference_Location :
Leshan
Print_ISBN :
978-1-4799-2548-3
DOI :
10.1109/CIS.2013.164
