自回归条件持续期(ACD)模型的统计特性分析

Analysis on Statistics Feature of Autoregressive Conditional Duration Model

从一簇新的关于超高频的金融时间序列模型ACD模型的统计特性入手,基于高频交易的模型的样本来探讨平稳过程的ACD模型的一些相关性质.这簇模型能为金融市场提供信息和依据.

Start from the statistic property of ACD model which is a new financial time sequence model concerning UHF, based on the sample of the model of high-frequency transaction, to discuss relevant properties of ACD model in stationary process. The model can provide information and reference to financial market.