摘要
结合高频数据和自回归条件持续性(ACD)模型进行的研究表明:在中国市场,自回归条件持续性模型可以成功用来衡量交易到达的强度。最后展望了该模型的发展方向。
Research based on combination of high frequency data with Auto - regressive Conditional Duration (ACD) Model shows that ACD model can successfully describe the intensity of bargaining arrival. New development directions of ACD model are discussed based on the results.
出处
《财经理论与实践》
CSSCI
北大核心
2006年第1期62-66,共5页
The Theory and Practice of Finance and Economics
基金
湖南省社会科学基金(05YB28)资助项目