Regression model

高频数据与市场微观结构分析

市场微观结构分析研究价格如何从逐笔交易和报价数据中形成，考察订单簿动态、买卖价差和价格发现。现代计量经济学框架由Hasbrouck (2007)提出，并由Aït-Sahalia和Jacod (2014)扩展应用于高频数据。

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高频数据与市场微观结构分析

已实现波动率的HAR-RV模型利率模型（Vasicek模型、CIR模型、Nel…默顿跳跃扩散模型流动性风险模型（Amihud、Roll、LOT）VaR回测事件研究法（CAR 和 BHAR）长记忆模型（ARFIMA, FIGARCH）随机波动率模型 (Heston)

来源

Hasbrouck, J. (2007). Empirical Market Microstructure: The Institutions, Economics, and Econometrics of Securities Trading. Oxford University Press. ISBN: 978-0195301649
Aït-Sahalia, Y. & Jacod, J. (2014). High-Frequency Financial Econometrics. Princeton University Press. ISBN: 978-0691161433

如何引用本页

ScholarGate. (2026, June 1). High-Frequency Data and Market Microstructure Analysis. ScholarGate. https://scholargate.app/zh/finance/high-frequency-microstructure

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已实现波动率的HAR-RV模型金融学↔ compare
利率模型（Vasicek模型、CIR模型、Nelson-Siegel模型）金融学↔ compare
默顿跳跃扩散模型金融学↔ compare
流动性风险模型（Amihud、Roll、LOT）金融学↔ compare
VaR回测金融学↔ compare

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被引用于

事件研究法（CAR 和 BHAR）长记忆模型（ARFIMA, FIGARCH）随机波动率模型 (Heston)

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