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金融市场高频数据分析的建模进展 被引量：3

A New Modeling Approach to Financial Market Analysis with High Frequency Data
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摘要 目前,在利用年、月等低频数据对股票市场的波动率进行研究的基础上,国内的一些学者开始用日内高频数据展开相应的研究.论文对国内外的大量最新文献进行了综述分析,提出了金融市场高频数据分析的3个创新研究方案和建模方法. In recent years, the analysis of financial high frequency data has been one of the difficult issues in the financial community of the world. Meanwhile, some scholars in our country have begun to search for theoretical models to describe the intraday volatility of the financial market of China with high frequency data. This paper sums up a great amount of new literature published in domestic and foreign journals and then puts forward a new research framework and three modeling approaches.
作者 应益荣 包郭平
机构地区 上海大学国际工商管理学院金融学系
出处 《五邑大学学报（自然科学版）》 CAS 2006年第1期63-68,共6页 Journal of Wuyi University(Natural Science Edition)
基金 上海市教委自然科学基金项目(2L829)
关键词 高频数据 金融市场 波动性 high frequency data financial market volatility
分类号 F830.91 [经济管理—金融学]
  • 相关文献

参考文献30

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二级参考文献23

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共引文献144

同被引文献21

  • 1杜修力,何立志.经验模态分解(EMD)中边界处理的新方法[J].北京工业大学学报,2009,35(5):626-632. 被引量：5
  • 2房振明,王春峰.上海股票市场收益日内效应的研究[J].北京理工大学学报（社会科学版）,2004,6(3):38-41. 被引量：11
  • 3杨建文,贾民平.希尔伯特-黄谱的端点效应分析及处理方法研究[J].振动工程学报,2006,19(2):283-288. 被引量：41
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  • 10KANATANI Taro. Iterative method for exponentially weighted rolling regression[J]. Finance Research Letters, 2004, 1: 196-201.

引证文献3

二级引证文献6

五邑大学学报（自然科学版）
2006年 第1期

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