不同步交易的滑动平均模型及其回报分析(英文)

MOVING AVERAGE MODEL OF NONSYNCHRONOUS TRADING

不同步交易乃金融中高频数据处理的重要课题之一。本文对文 [1 ]和 [2 ]给出的金融证券的不同步交易模型进行了推广 ,并对推广的模型考察了可观察回报的有关统计特性 ,最后给出了模型的参数估计。

Nonsynchronous trading is one of the hot issues in financial high-frequency data processing. This paper extends the nonsynchronous trading model studied in and 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 discussed.\;