【摘要】 从高频和超高频金融数据的基本统计特征出发,回顾了(超)高频金融时间序列模型化研究的发展历程及相关特征,并详细介绍了高频数据模型研究中针对久期序列建立ACD模型族的研究与进展.对ACD模型族,介绍了两种主要类型:强ACD模型和弱ACD模型.最后展望了高频金融时间序列中ACD模型的研究.更多还原

【Abstract】 Begin with the introduction of the basic statistical features of(Ultra) High Frequency financial data,and then we review the development of the modeling of high frequency time series and their characteristics.Specially,we introduce the conception of duration of ultra high frequency time series,the modeling of duration after its elimination of calendar effects and the development of the family of ACD models,including both the strong form and the weak form.At last,we look forward to the future development of ACD models.更多还原