甚高頻金融交易資料建模及應用

Ultra-High-Frequency Data Modeling and Application

孫建明(Jian-Ming Sun)

《管理科學與統計決策》 3卷2期 (2006/06) Pp. 24-36

https://doi.org/10.6704/JMSSD.2006.3.2.24

摘要

所有交易及相關特徵都被記錄的資料叫做甚高頻資料。本文通過抽象交易過程的特點，把成交時點變化用隨機點過程描述，把價格成交量等看作為成交時點上的標值，用標值隨機點過程描述交易過程。定義既反映成交時點變化又反映標值變化的過程強度來刻畫甚高頻交易標值隨機點過程；定義甚高頻交易資料樣本函數密度並表示為過程強度的函數，給出了未知參數的最大似然估計式。價格服從維納過程時，用甚高頻資料和高頻資料分別估計了價格波動率；估計結果表明：採樣時間間隔越大，與甚高頻估計結果差距越大。

關鍵字

甚高頻交易資料 ； 建模 ； 標值隨機點過程 ； 價格波動率

並列摘要

Ultra-high-frequency data is defined to be a full record of transaction and their associated characteristics. This paper abstracts financial transaction characteristics, describes ultra-high-frequency data with marked point process, defines transaction process intensity to present both transaction time interval changes and marks changes, derives sample function density and its maximum likelihood estimating formulation. When trade prices are Brown motions, price process and transaction arrival time process are independent each other, we have estimated stock price volatility. The results are that the less the sampling time interval, the nearer the estimated price volatility to that in ultra-high-frequency data .

並列關鍵字

Ultra-high-frequency Data ； Marked Point Process ； Price Volatility

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