中国股市超高频持续期序列长记忆性研究

文章针对股票市场的超高频持续期序列，提出了长记忆随机条件持续期模型（LMSCD），并给出了模型参数的极大谱似然函数估计方法。然后，利用沪市浦发银行股票的超高频持续期数据，分别建立了交易持续期、价格持续期和交易量持续期的长记忆随机条件持续期模型，验证了中国股票市场超高频持续期序列长记忆性的存在。

Analysis on Long Memory for Ultra-high Frequency Durations Data of Chinese Stock Markets

This paper puts forward a long memory stochastic conditional durations(LMSCD) model for ultra-high frequency(UHF) durations series,and provides a kind of spectrum likelihood estimation method.Thereafter,making use of the ultra high frequency durations data in Shanghai stock market,the authors construct three different LMSCD models,which are for trade durations LMSCD,price durations LMSCD and volume durations LMSCD,respectively and testify the existence of long memory in ultra-high frequency durations series of Chinese stock market.