不同步交易乃金融中高频数据处理的重要课题之一。
Nonsynchronous trading is one of the hot issues in financial high frequency data processing.
旨在应用高频数据分析股指与股指期货日内互动关系。
We investigate the intraday interaction between the stock index and the stock index futures through the high frequency data.
扩展的ACD模型是金融高频数据分析的一种重要方法。
Among tools for analyzing high frequency financial data, the extensive ACD model is a very important one.
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。
Based on the high frequency data, we made an empirical study on the full-information transaction costs in Chinas stock market.
本文使用高频数据为样本来研究异步交易现象对股票相关性的影响。
This paper USES the high frequency data as sample to study the effect of nonsynchronous on the relativity of stock.
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。
Unlike low frequency data, high frequency data has the calendar effects and long memory volatility.
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。
The high frequency data make the deeper study of microscopic market mechanism and movement mechanism available.
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。
Firstly, a weighted realized variance and a weighted realized covariance which are based on high frequency data are put forward.
最后，利用ARCH族模型对高频数据进行研究，以考察股指和个股在日内的波动情况。
At last, it researches the frequence data by using arch models to review the fluctuation status of stock index and stocks in a day.
ADSL话音分离器在ADSL宽带网线路中起到分离低频话音信号和高频数据信号的作用。
ADSL splitters take a role of separating low-frequency audio signals from high-frequency signals.
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。
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.
用五分钟高频数据对我国股市的周末效应进行检验后，发现我国股市在周一的收益波动率最大。
After testing on weekday affect using the high frequency data, it is found that in Monday the return volatility of China stock market is the highest.
金融高频数据是一种不等间隔的时间序列，现有的相似性查找技术对高频数据的处理效果不佳。
The existing methods of similarity search are not suitable for high frequency financial data, which is a kind of non-interval time series.
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。
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.
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，在一个具体的时间段采用高频数据对不对称性作出估计，我们应用已实现波动率的方法并用线形模型做出了估计。
Finally, it makes the asymmetric estimation with high-frequency data in a specific period, using the method of realized volatility and the line model.
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。
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.
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。
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.
其次使用小波变换模极大方法对上证指数、深证成指和三支股票青岛海信、青岛啤酒、青岛海尔五分钟高频数据进行了多重分形谱的分析，并与MFDFA法的计算结果进行比较。
Next. WTMM is used to analyze multifractal spectrums of three stocks 5-minute high-frequency data of Qingdao Hisense. Qingdao beer and Qingdao Haier, and WTMM's results is compared with MFDFA's.
其次使用小波变换模极大方法对上证指数、深证成指和三支股票青岛海信、青岛啤酒、青岛海尔五分钟高频数据进行了多重分形谱的分析，并与MFDFA法的计算结果进行比较。
Next. WTMM is used to analyze multifractal spectrums of three stocks 5-minute high-frequency data of Qingdao Hisense. Qingdao beer and Qingdao Haier, and WTMM's results is compared with MFDFA's.
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