金融高频数据中微观结构噪声的日历效应估计  

Estimation of Calendar Effect in Microstructure Noise Using High-frequency Financial Data

作　　者：苏涛 张志远 SU TAO;ZHANG ZHIYUAN(School of Statistics and Academy of Statistics and Interdisciplinary Sciences,East China Normal University,and Key Laboratory of Advanced Theory and Application in Statistics and Data Science,MOE,Shanghai 200062,China;School of Statistics and Mathematics,Zhejiang Gongshang University,Hangzhou 310018,China;School of Statistics and Management,Shanghai University of Finance and Economics,Shanghai 200433,China)

机构地区：[1]华东师范大学统计学院,统计交叉科学研究院,统计与数据科学前沿理论及应用教育部重点实验室,上海200062 [2]浙江工商大学统计与数学学院,杭州310018 [3]上海财经大学统计与管理学院,上海200433

出　　处：《应用数学学报》2024年第6期892-906,共15页Acta Mathematicae Applicatae Sinica

基　　金：国家自然科学基金面上项目(71871132);国家自然科学基金委重大研究计划重点项目(91546202);上海财经大学创新团队支持计划(2020110930)资助。

摘　　要：基于金融市场高频价格数据,我们提出其市场微观结构噪声的日历效应估计.据我们所知,本文首次建立了估计的相应渐近理论以及给出了相应的统计推断方法.该理论有助于我们更加深刻地认识市场微观结构噪声的性质,进而有助于我们更好地认识市场的运行机制和其价格发现功能.We build an estimator of calendar effect in market microstructure noise using high-frequency financial data.The associated asymptotic theory and feasible inference are established.This is,to our knowledge,the first(feasible)asymptotic theory ever built for the estimation of calendar effect in market microstructure noise.This research may lead to a better understanding of market microstructure noise and hence the market mechanism.

关 键 词：日历效应 微观结构噪声 高频数据 伊藤半鞅 

分 类 号：O211[理学—概率论与数理统计] O212[理学—数学]