{"title":"基于ACD模型的HS300指数交易期研究","authors":"Yuling Ma, Yuan Zhao","doi":"10.1109/CIS.2013.164","DOIUrl":null,"url":null,"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.","PeriodicalId":294223,"journal":{"name":"2013 Ninth International Conference on Computational Intelligence and Security","volume":"14 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2013-12-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Research on the Trade Duration of HS300 Index Based on ACD Model\",\"authors\":\"Yuling Ma, Yuan Zhao\",\"doi\":\"10.1109/CIS.2013.164\",\"DOIUrl\":null,\"url\":null,\"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.\",\"PeriodicalId\":294223,\"journal\":{\"name\":\"2013 Ninth International Conference on Computational Intelligence and Security\",\"volume\":\"14 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2013-12-14\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"2013 Ninth International Conference on Computational Intelligence and Security\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1109/CIS.2013.164\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"2013 Ninth International Conference on Computational Intelligence and Security","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1109/CIS.2013.164","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Research on the Trade Duration of HS300 Index Based on ACD Model
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.
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