基于不规则数据的中国股市微观结构研究

引入了自回归条件久期模型，采用极大似然估计的方法对具有指数分布和Weibull分布两种模型分别进行了参数估计，检验了模型的性能，并以WACD模型为基础对我国上海证券所个股的交易集群性特征进行了检验．实证结果表明，在我国证券市场交易的集群性特征是由于以私人信息为基础的交易过程引起的，私人信息的引入导致了证券市场更大的波动性。

Empirical study of Chinese stock market microstructure based on irregularly spaced data

A model for analysis of the irregularly time span, which is called autoregressive conditional duration, is introduced in this paper. The models with exponential and Weibull distribution are estimated by the maximum likelihood estimation means and their characteristics are tested. On the basis of the WACD model, the paper verifies the transaction clustering character of single stock in Shanghai stock market. The research results indicate that the transaction clustering is caused by the transaction process based on the private information and the volatility is magnified due to the private information introduction in stock market of China.