Ultrahigh Frequency Data Liquidity Duration Estimation: A Case Study of Chinese A Shares

Yuan Jianhui; Pan Yu; Zhang Xin

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Ultrahigh Frequency Data Liquidity Duration Estimation: A Case Study of Chinese A Shares

机译：超高频数据流动性持续时间估计：以中国A股为例

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Liquidity has always been a hot spot for researchers of financial market microstructures. Analysis of liquidity is of great significance for investors and market regulators. Ultrahigh frequency data records the whole dynamic change of the trading process, so it has advantages in depicting the market microstructure. This study analyzes Asian emerging market equities liquidity using ultrahigh frequency data. We used various forms of WACD models and let trading duration be indicators of liquidity. Through the residual test, we were able to select the best model to describe the overall liquidity.

机译：流动性一直是金融市场微观结构研究人员的热点。流动性分析对投资者和市场监管者具有重要意义。超高频数据记录了交易过程的整个动态变化，因此在描述市场微观结构方面具有优势。这项研究使用超高频数据分析了亚洲新兴市场股票的流动性。我们使用了各种形式的WACD模型，并将交易持续时间作为流动性指标。通过残差测试，我们能够选择最佳模型来描述总体流动性。

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《Mathematical Problems in Engineering》 |2015年第12期|371272.1-371272.10|共10页
作者
Yuan Jianhui; Pan Yu; Zhang Xin;
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Nanjing Univ Informat Sci & Technol, Dept Finance & Insurance, Nanjing 210044, Jiangsu, Peoples R China|Univ Toronto, Dept Geog, Toronto, ON M5S 3G3, Canada|Univ Toronto, Program Planning, Toronto, ON M5S 3G3, Canada;

Nanjing Univ Informat Sci & Technol, Dept Finance & Insurance, Nanjing 210044, Jiangsu, Peoples R China;

Nanjing Univ Sci & Technol, Sch Econ & Management, Nanjing 210094, Jiangsu, Peoples R China;

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1. Ultrahigh Frequency Data Liquidity Duration Estimation: A Case Study of Chinese A Shares [J] . JianhuiYuan, YuPan, XinZhang Mathematical Problems in Engineering: Theory, Methods and Applications . 2015,第5期

机译：超高频数据流动性持续时间估计：以中国A股为例
2. Liquidity withdrawal in the FX spot market: A cross-country study using high-frequency data [J] . Stenfors Alexis, Susai Masayuki Journal of International Financial Markets, Institutions & Money . 2019,第MARa期

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3. Estimation of monthly average sunshine duration over China based on cloud fraction from MODIS satellite data [J] . He Yongjian, Qiu Xinfa, Cao Yun, Current Science: A Fortnightly Journal of Research . 2014,第12期

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4. Does reform of non-tradable shares change liquidity premium? Empirical study from China a share market [C] . Hengzhen Lu, Yinghao Ma 2011 International Conference on E-Business and E-Government . 2011

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7. Parameter Estimation of Intensity-Duration-Frequency Curve Using Genetic Algorithm (I): Comparison Study of Existing Estimation Method [O] . Tae-Son Kim, Ju-Young Shin, Soo-Young Kim, 2007

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Ultrahigh Frequency Data Liquidity Duration Estimation: A Case Study of Chinese A Shares

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