高频金融时间序列的统计特征  

Statistical Characteristics of High Frequency Financial Time Series

作　　者：叶建萍 卢月莉 Jianping Ye;Yueli Lu(XingJian College of Science and Liberal Arts of Guangxi University,Nanning,Guangxi,530000,China)

机构地区：[1]广西大学行健文理学院,广西南宁530000

出　　处：《财经与管理》2019年第6期60-62,共3页Finance and Management

基　　金：广西高校中青年教师基础能力提升项目(2018KY0785);广西大学行健文理学院科研基金(Y2018ZKT01);广西大学行健文理学院概率论与数理统计课程建设。

摘　　要：经济社会的快速发展,对各领域的发展都产生了巨大的影响,而在金融市场的发展中,逐渐地出现了高频金融,其时间序列具有独特的统计特征,与传统的金融理论相比较,其自身存在着不一致的异常现象。针对其自身独特的性质分析,还需要结合其实际发展的具体情况为基础,重视其新模型,能够实现对信息数据的生成与转换,观察其转换的具体过程,为众多的投资者提供了重要的信息依据,确保做出的决策具有科学性、合理性,对具体的生产发展进行了明确的原因解释。对此,本文主要对高频金融时间序列的统计特征进行了分析,通过对其建模的分析,为其奠定了一定的理论基础。The rapid development of economy and society has had a great influence on the development of various fields,but in the development of financial market,high frequency finance has gradually appeared,and its time series has unique statistical characteristics.Compared with the traditional financial theory,it has its own inconsistent abnormal phenomenon.In view of its own unique nature analysis,it is necessary to attach importance to its new model based on the specific situation of its actual development,which can realize the generation and conversion of information data,observe the specific process of its conversion,provide an important information basis for many investors,and ensure that the decisions made are scientific,reasonable and effective.The production development of the body is explained clearly.In this paper,the statistical characteristics of high frequency financial time series are analyzed,and through the analysis of its modeling,a certain theoretical foundation is laid for it.

关 键 词：高频金融 时间序列 统计特征 

分 类 号：F83[经济管理—金融学]