金融高频数据分析的现状与问题研究
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财经研究 2004 年 第 30 卷第 03 期, 页码：32 - 40
摘要
参考文献
摘要
近年来,在西方国家对金融高频数据的分析已成为实业界和学术界的热点问题和难点问题。本文讨论了金融高频数据的概念和特征,分析了对高频数据分析的基本动因,阐述了金融高频数据分析已涉及的主要领域,探讨了金融高频数据分析中遇到的问题。最后,还对金融高频数据分析的发展趋势作出了展望并探讨了我国在这一领域应用研究的重点。
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[2]RueyS.Tsay.Editor'sintroductiontopaneldiscussiononanalysisofhigh frequencydata[J].JournalofBusiness＆EconomicStatistics2000,Apr,139.
[3]TorbenG.Andersen.Somereflectionsonanalysisofhigh frequencydata[J].JournalofBusiness＆EconomicStatistics,2000,Apr,146～153.
[4]NicholasG.Polson,BernardV.Tew.Bayseianportfolioselection:anempiricalanalysisoftheS＆P500index1970～1996.[J].JournalofBusiness＆EconomicStatistics,2000,Apr,164～176.
[5]EricGhysels.Someeconometricrecipesforhigh frequencydatacooking[J].JournalofBusiness＆EconomicStatistics,2000,Apr.154～162.
[6]Robert.Wood.Marketmicrostructureresearchdatabases:historyandprojections[J].JournalofBusiness＆EconomicStatistics,2000,Apr,140～145.
[7]OwainapGwilym,CharlesSutcliffe.Problemsencounteredwhenusinghighfrequencyfinancialmarketdata:suggestedsolutions[J].JournalofFinancialManagementandAnalysis,2001,14(1),38～51.
[8]SajiGopinath.Numberoftransactionsandvolatility:anempiricalstudyusinghigh frequencydatafromNASDAQstocks[J].TheJournalofFinanceResearch,2001,summer,205～218.
[9]RichardOlsen.Highfrequencydata———anessentialresource[J].IFCBulletin,2002,Dec.
引用本文
常宁, 徐国祥. 金融高频数据分析的现状与问题研究[J]. 财经研究, 2004, 30(3): 32–40.
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