| 金融市场高频数据分析的建模进展 |
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| 引用本文： | 应益荣,包郭平. 金融市场高频数据分析的建模进展[J]. 五邑大学学报(自然科学版), 2006, 20(1): 63-68 |
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| 作者姓名： | 应益荣 包郭平 |
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| 作者单位： | 上海大学,国际工商管理学院金融学系,上海,201800 |
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| 摘 要： | 目前,在利用年、月等低频数据对股票市场的波动率进行研究的基础上,国内的一些学者开始用日内高频数据展开相应的研究.论文对国内外的大量最新文献进行了综述分析,提出了金融市场高频数据分析的3个创新研究方案和建模方法.
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| 关 键 词： | 高频数据 金融市场 波动性 |
| 文章编号： | 1006-7302(2006)01-0063-06 |
| 修稿时间： | 2005-03-14 |
A New Modeling Approach to Financial Market Analysis with High Frequency Data |
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| YING Yi-rong,BAO Guo-ping. A New Modeling Approach to Financial Market Analysis with High Frequency Data[J]. Journal of Wuyi University(Natural Science Edition), 2006, 20(1): 63-68 |
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| Authors: | YING Yi-rong BAO Guo-ping |
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| Abstract: | In recent years,the analysis of financial high frequency data has been one of the difficult issues in the financial community of the world.Meanwhile,some scholars in our country have begun to search for theoretical models to describe the intraday volatility of the financial market of China with high frequency data.This paper sums up a great amount of new literature published in domestic and foreign journals and then puts forward a new research framework and three modeling approaches. |
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| Keywords: | high frequency data financial market volatility |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
