| 基于高频数据的金融市场微观结构实证研究综述 |
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| 引用本文： | 曾勇,王志刚,李平.基于高频数据的金融市场微观结构实证研究综述[J].系统工程,2005,23(3):22-28. |
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| 作者姓名： | 曾勇 王志刚 李平 |
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| 作者单位： | 电子科技大学,管理学院,四川,成都,610054 |
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| 基金项目： | 教育部优秀青年教师资助计划项目(教人司[2003]355号) |
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| 摘 要： | 对高频数据在市场波动性、有效性和流动性等市场微观结构领域的实证研究及其引起的对一些传统的经济假设和理论框架所提出的质疑作系统介绍，并对这一研究领域作简要评述，最后提出高频数据对中国股票市场微观结构进一步实证研究的方向。
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| 关 键 词： | 高频数据 市场微观结构 实证研究 日内模式 |
| 文章编号： | 1001-4098(2005)03-0022-07 |
Review of Empirical Research on Financial Market Microstructure Based on High-frequency Data |
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| ZENG Yong,WANG Zhi-gang,LI Ping.Review of Empirical Research on Financial Market Microstructure Based on High-frequency Data[J].Systems Engineering,2005,23(3):22-28. |
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| Authors: | ZENG Yong WANG Zhi-gang LI Ping |
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| Abstract: | Based on high-frequency data an introduction to the empirical research on the financial market microstructure such as volatility,market efficiency and liquidity and some suspicion about some traditional economical hypotheses and theory framework caused by this empirical research is presented in this paper, and a brief comment about this area is also given. Finally, we present some forward empirical research directions on China stock market microstructure. |
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| Keywords: | High-frequency Data Market Microstructure Empirical Research Intra-day Pattern |
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