TDF Modeling And Software Realization Of Financial High-frequency Data

As the financial market is becoming more and more developed and spread of modern information and communication networks, market information transmission mode and the technical methods of financial transactions have taken place changes. Changes in financial markets has significantly speed up the reaction speed, high-frequency characteristics is becoming more and more significant.High-frequency trading data to a large extent affected by scene shocks and irrational emotions people behavior, there is microstructure noise and high order nonstationarity, the traditional modeling method and mathematical statistical analysis decision model are serious limitations in practical application, must explore new modeling analysis method is suitable for the transaction characteristics, to serve the management of financial markets and has application value for the design of practical trading strategy guidance.On the present research situation and related financial high-frequency trading results made a systemic analysis and induction, according to the characteristics of the transaction Data, from the theoretical model, Data model and the external market forecast analysis Angle was proposed based on TDF (going-Data-Feedback) framework, a new method of modeling analysis. Then, build the software realization scheme based on cloud computing platform, and software implementation of TDF model made a deep research and related technologies. Finally, using the above method to make an empirical analysis of the HuShen300 Index yields, achieved a good results.The research results for the financial high-frequency data modeling analysis provides a new train of thought and the software implementation technology, which has important reference significance to promote the development of the related areas of research and laid a solid foundation.The topic and research content of this article is from High Level Academic Research Program of Financial Research Center, Fudan University ((No.2012FDFRCGD02) "KDR modeling analysis method and application research on financial high frequency data"...