金融高频数据的最优抽样频率研究被引量：11

Optimal Sampling Frequency for High-frequency Financial Data

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摘要首先综述了国内外对最优抽样频率的研究成果,并对各种方法的利弊进行了分析比较;然后结合目前我国股市金融高频数据的特点,提出了一种简便易行的最优抽样频率确定方法,并且基于"已实现"双幂次变差和赋权"已实现"波动估计量进行了研究,分别给出了2个估计量的偏差;最后用深证成指的高频数据进行了实证研究。 The study of the optimal sampling frequency is very important in high-frequency financial data. The study of optimal sampling frequency home and abroad was introduced and commented. Considering the characters of high-frequency data in Chinese stock market, a more succinct and convenient method of the optimal sampling frequency was provided and the theorems of the bias of realized bipower variation and weighted realized volatility were proved. The results of the empirical study of Shenzhen stock market are also given.

作者李胜歌张世英

机构地区天津财经大学经济学院天津大学管理学院

出处《管理学报》 CSSCI 2008年第6期801-806,840,共7页 Chinese Journal of Management

基金国家自然科学基金资助项目(70471050)

关键词高频数据微观结构误差最优抽样频率 high-frequency data microstructure error optimal sampling frequency

分类号 F830 [经济管理—金融学]

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参考文献10

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