基于ACD模型的成交量建模研究  

Modelling for Volume Based on ACD Model

作　　者：王亚楠[1] 张燕[1] 吴祈宗[2] 

机构地区：[1]河北科技大学经济管理学院,河北石家庄050016 [2]北京理工大学管理经济学院,北京100081

出　　处：《数学的实践与认识》2013年第21期66-71,共6页Mathematics in Practice and Theory

基　　金：河北科技大学博士基金项目:金融超高频数据SCD模型扩展研究(QD201306)

摘　　要：以金融超高数据中的重要指标成交量为研究对象,借鉴ACD模型的建模思路,以价格变化一个单位的交易期内累计成交量为标记点,建立基于价格交易持续期的累计成交量模型——ACV模型,运用国内股票市场超高频数据对这一模型进行实证分析,结果表明模型显著,累计成交量的期望受上一期期望的影响远远大于上一期累计成交量的影响,且累计成交量具有明显的聚类效应.This paper studied on volume of finance ultra-high-frequency data. When price changeed a unit and acccumulated trading volume during the period, so a mark point about Cumulative volume was made. Reference on ACD model, ACV model was made. The model was analyzed empirically by use of domestic stock markets ultra-high frequency data. The results indicated that the model was significant, expect of last period volume made fax greater impect on this period volume than last period volume and accumulated trading volume had obvious clustering effect.

关 键 词：交易持续期 累计成交量 ACD模型 ACV模型 

分 类 号：F224[经济管理—国民经济] F830.91