半参数ACD模型及其在中国股票市场中的应用研究

The Research on the Semiparametric ACD Model and the Application in the Stock Market of China

本文提出了半参数ACD模型并基于模拟样本与调整后的中国股票市场的价格时间间隔样本对模型进行实证分析.半参数ACD模型对条件期望的函数形式与随机误差项的分布形式要求都没有参数ACD模型强,因此不会像参数ACD模型那样因模型形式设定错误而得出错误结论.这一点在我们的实证分析中可以得到证实.与非参数ACD模型相比,半参数ACD模型能够估计出参数,这增加了模型的解释能力.半参数ACD模型估计出来的各个可加部分图形的形状对于正确设定参数ACD模型具有一定的指导作用.

We have proposed the semiparametric ACD model and carried on the demonstration analysis based on the simulation sample and the China Stock market＇s adjusted price duration sample to the model in the paper. The function form of the conditional expectation and the distribution form of the stochastic error term of the semiparametric ACD model have fewer limits than the parametric ACD model. So the model will not make wrong conclusion because of the wrong model form hypothesis just like parametric ACD model. This point may obtain the confirmation in our demonstration analysis. Comparing with the nonparametric ACD model, semiparametric ACD model can estimate the parameter, which adds the explaining ability of the model. Semiparametric ACD model can estimate the graph of each additive component, which has some help to specify the form of parametric ACD model.