Analysis Of Finance Market Based On High-Frequency Data

In recent years, research on high frequency data has been a new research field and direction in financial econometrics. The paper studies the characharistic,modeling and application of high frequency data.The key points and main achievements are listed as follows:1)An optimal sampling method is given based on asymptotic distribution of error term between RV(realized volatility),RRV(realized range-based volatility) and IV(integrated volatility),respectively.2)The fact that volatility non-persistence,covariance stationarity and characteristic root lying inside the unit circle of volatility equation have inherent consistency is proved when the definitions of persistence,co-persistence on conditional variance are given from point of view of unit root based on RV-VAR (realized volatility-vector autoregression)family model.at the same time,the co-persistence definition given above which is inherent consistency with co-persistence concept of Bollerslev&Engle is also proved. The definition of linear co-persistence is expanded to non-liear case where non-liear co-persistence definition is given and inherent relationships between linear co-persistence and non-linear co-persistence are testified.3)The existence of necessary and sufficient condition of linear co-persistence in RV-VAR model is proved and how to find this linear co-persistence vector is given.The model of non-linear co-persistence is also set up based on wavelet neural network theory.By empirical analysis ,it is clear that linear co-persistence does not exit between Shanghai stock market and Shenzhen stock market,but non-linear co-persistence exits between them.4)Based on the RV-ARMA(realized volatility-autoregressive and moving average) model,it is discussed that the persistence of conditional variances has a effect on capital asset pricing model(CAPM) from persistence viewpoint. Moreover, we analyze the persistence of multi-asset portfolio which follows a RV-VAR process. By using high frequency data, modeling higher moments of volatility is given and the time-conditional CAPM is put forward.Based on the RV-ARMA and GARCH model, the empirical analysis points out the facts that the conditional variances have a persistent effect on capital asset pricing in model with root and their persistence is compared.5)Two volatility estimator based on RV and RRV are compared from theory and simulated test,respectively.WRRV(weighted realized range-based volatility) is given based on the consideration of calendar effect and RRV is only special case of WRRV.it is pointed out that WRRV is more perfect volatility estimator.