基于高频数据的时间序列长记忆系数比较研究

Research on The Long Memory Parameter of Time Series based on High Frequency Data

在高频数据中,交易持续时间序列,交易量序列和收益率平方序列都存在长记忆现象。本文采用半参数方法,对同一只股票的上述三种序列的长记忆参数进分析比较,结果显示,三种序列都存在长记忆现象,而且同一只股票的上述三种序列具有相同的长记忆参数。这些结果为微观市场的相关理论提供了实证。

In the high frequency data, duration, volume and square returns are long memory phenomena. In this article, we use the semi-parameters method to compare and analyze the long memory parameters of above three series which belong to the same stock. The results show that, for the same stock, there are long memory phenomena in three kinds of sequences, and all of them with the same long memory parameters. These results provide empirical foundation for relevant market microstructure theory.