高頻財務資料分析的回顧

Review on the High Frequency Financial Data Analysis

林良靖(Liang-Ching Lin)

《中國統計學報》 59卷1期 (2021/03) Pp. 1-27

摘要

此文章的主旨在回顧近期高頻財務資料的分析方法。高頻財務資料是一有交易發生價格就立即被記錄下來的新資料型態，故常用隨機波動模型來對此資料進行模型的建立，如何估計累積波動值則是研究的重點；更進一步的問題是，在觀測值是被微結構噪音污染的情况下，該怎麼估計累積波動值。另一方面，此文章亦會介紹波動分佈的適合度檢定的相關研究，最後給予可能的延伸研究問題。

關鍵字

適合度檢定 ； 高頻財務資料 ； 累積波動值 ； 微結構噪音 ； 隨機波動模型

並列摘要

The topic of this article is to review the analysis method of the high frequency financial data in recent two decades. The high frequency financial data is a new data type which the price is recorded as soon as the transaction occurred. Therefore, this kind of data is usually constructed by using the stochastic volatility model. How to estimate the integrated volatility is the key point of the research. A further problem is, when the observations which are contaminated by the microstructure noise, how to estimate the integrated volatility. On the other hand, in this article, the research on the goodness-of-fit of the distribution of the volatility process is also introduced. Finally, the extension problems are also provided.

並列關鍵字

Goodness-of-fit test ； High frequency financial data ； Integrated volatility ； Microstructure noise ； Stochastic volatility model

參考文獻

Aït-Sahalia, Y., and Jacod, J. (2014). High-frequency financial econometrics. Princeton University Press.

Aït-Sahalia, Y., Mykland, P. A., and Zhang, L. (2005). How often to sample a continuous-time process in the presence of market microstructure noise. Review of Financial Studies, 18, pages 351-416.

Andersen, T. G., Bollerslev, T., Diebold, F. X., and Ebens, H. (2001). The distribution of realized stock return volatility. Journal of Financial Economics, 61, pages 43-76.

Andersen, T. G., Bollerslev, T., and Dobrev, D. (2007). No-arbitrage semimartingale restrictions for continuous-time volatility models subject to leverage effects, jumps and iid noise: Theory and testable distributional implications. Journal of Econometrics, 138(1), pages 125-180.

Bandi, F. M., and Russell, J. R. (2006). Separating microstructure noise from volatility. Journal of Financial Economics, 79, pages 655-692.