【摘要】 高频金融数据的分析与建模是金融计量学的一个全新的研究领域.高频数据"日历效应"是金融市场微观结构研究领域的重要发现,但是金融市场微观结构理论主要是从定性的角度研究"日历效应".如何定量地刻画高频数据"日历效应"是进一步深入理解金融市场的关键.论文提出用小波神经网络(WNN)来定量研究高频金融数据"日历效应",实证研究表明小波神经网络(WNN)很好地刻画了"日历效应".更多还原

【Abstract】 High-frequency financial data analysis and modeling is a new research field in financial econometrics,and the calendar effects are most important discovery in financial market microstructure field.But market microstructure theory is qualitative,how to study calendar effects quantitative is a big problem to know financial market.The paper proposes application of Wavelet Neural Network in high-frequency data calendar effects’ study,and empirical study shows WNN is good method to describe calendar effects.更多还原