| Nonsynchronous Trading Model and Return Analysis |
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| 引用本文： | LIUXiao－mao,ZHANGJun,等. Nonsynchronous Trading Model and Return Analysis[J]. 系统科学与系统工程学报(英文版), 2002, 11(2): 183-189 |
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| 作者姓名： | LIUXiao－mao ZHANGJun 等 |
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| 作者单位： | LIU Xiao-mao，LI Chu-lin，ZHANG Jun1. Math. Dept.，Huazhong Univ. of Sci. and Tech.，Wuhan 430074，China2. State Key Lab. for Image Processing and Intelligent Control，HuazhongUniv. of Sci. and Tech.，Wuhan 430074，China |
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| 摘 要： | Nonsynchronous trading is one of the hot issues in financial high-frequency data processing. This paper extends the nonsynchronous trading model studied in [1] and [2] for the financial security, and considers the moment functions of the observable return series for the extended model. At last. the estimators of parameters are obtained.
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| 关 键 词： | 非同步贸易模型 回归分析 高频数据 |
Nonsynchronous Trading Model and Return Analysis |
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| LIU Xiao-mao,LI Chu-lin,ZHANG Jun. Nonsynchronous Trading Model and Return Analysis[J]. Journal of Systems Science and Systems Engineering, 2002, 11(2): 183-189 |
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| Authors: | LIU Xiao-mao LI Chu-lin ZHANG Jun |
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| Affiliation: | 1. Math. Dept. , Huazhong Univ. of Sci. and Tech. , Wuhan 430074, China
2. State Key Lab. for Image Processing and Intelligent Control, Huazhong Univ. of Sci. and Tech. , Wuhan 430074, China |
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| Abstract: | Nonsynchronous trading is one of the hot issues in financial high-frequency data processing. This paper extends the nonsynchronous trading model studied in [1] and [2] for the financial security, and considers the moment functions of the observable return series for the extended model. At last, the estimators of parameters are obtained. |
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| Keywords: | high-frequency data nonsynchronous trading return moment functions parameters estimation |
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