Nonsynchronous trading is one of the hot issues in financial high frequency data processing.
不同步交易乃金融中高频数据处理的重要课题之一。
Vector quantization is used to compress the high frequency data.
对高频子带采用矢量量化的压缩方式。
Unlike low frequency data, high frequency data has the calendar effects and long memory volatility.
与低频数据不同，高频数据通常具有“日历效应”和波动长记忆性。
The high frequency data make the deeper study of microscopic market mechanism and movement mechanism available.
高频数据的获得使人们可对市场的微观结构和运行机制进行深入研究。
We investigate the intraday interaction between the stock index and the stock index futures through the high frequency data.
旨在应用高频数据分析股指与股指期货日内互动关系。
Based on the high frequency data, we made an empirical study on the full-information transaction costs in Chinas stock market.
运用高频数据对中国股票市场的完全信息交易成本进行实证分析。
Firstly, a weighted realized variance and a weighted realized covariance which are based on high frequency data are put forward.
首先提出了基于高频数据的赋权已实现变差估计量和赋权已实现协变差估计量。
This paper analyzes the statistical features of the Shanghai and Shenzhen 300 Index yield rate time series from two aspects which include low frequency data and high frequency data.
本文从低频数据和高频数据两个角度对沪深300指数的收益率时间序列统计特征进行分析。
Research based on combination of high frequency data with Auto-regressive Conditional Duration (ACD) Model shows that ACD model can successfully describe the intensity of bargaining arrival.
结合高频数据和自回归条件持续性（ACD）模型进行的研究表明：在中国市场，自回归条件持续性模型可以成功用来衡量交易到达的强度。
This paper chooses China Shanghai 50ETF as the target to have a deep research on the high-frequency data of the spread between ETF's MV and IOPV.
本文选择华夏上证50ETF作为研究对象，研究上证50ETF二级市场价格和其基金净值之间价差的高频数据。
The core of the paper is the relationship between liquidity and volatility. Using the high-frequency data, the paper checks their relationship in China's market and researches the impact factors.
本文以流动性和波动性的关系为研究核心，利用了高频数据检验了了中国市场中流动性与波动性之间的关系，并对这种关系的影响因素进行了研究。
Finally, we sum up the conclusions of this paper, prospect the econometric hot spots in the future, and the significance of doing research using high-frequency data on China securities market.
最后归纳本文的结论，并结合高频数据展望计量经济学未来研究的热点及对我国证券市场高频数据进行研究的意义。
Finally, we sum up the conclusions of this paper, prospect the econometric hot spots in the future, and the significance of doing research using high-frequency data on China securities market.
最后归纳本文的结论，并结合高频数据展望计量经济学未来研究的热点及对我国证券市场高频数据进行研究的意义。
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