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1、AnalysisofHighFrequencyFinancialDataRobertF.EngleNewYorkUniversityandUniversityofCalifornia,SanDiegoJe?reyR.RussellUniversityofChicago,GraduateSchoolofBusinessDecember21,2004Contents1Introduction21.1DataCharacteristics.......................21.1.1IrregularTemporalSp
2、acing...............31.1.2Discreteness........................31.1.3DiurnalPatterns.....................51.1.4TemporalDependence..................71.2Typesofeconomicdata.....................101.3EconomicQuestions.......................112EconometricFramework132.1Exa
3、mplesofPointProcesses...................162.1.1TheACDmodel.....................182.1.2Thinningpointprocesses................262.2ModelinginTickTime-theMarks...............282.2.1VARModelsforPricesandTradesinTickTime...282.2.2VolatilityModelsinTickTime.............32
4、2.3Modelsfordiscreteprices....................342.4CalendarTimeConversion....................402.4.1BivariateRelationships.................423Conclusion45AEACD(3,3)parameterestimatesusingEVIEWSGARCHmodule.51BVARparameterestimates5111IntroductionFromapassingairplaneo
5、necanseetherushhourtra?csnakinghomefarbelow.Forsome,itisenoughtoknowthattheresidentswillallgethomeatsomepoint.Alternatively,fromatallbuildinginthecenterofthecityonecanobserveindividualsintransitfromworktohome.Whyoneroadismovingmorequicklythananothercanbeobserved.Roa
6、dsnearthecoastalwatersmightbeimmersedinathickblanketoffogforcingthecarstotravelslowlyduetopoorvisibilitywhileroadsinthehighlands,abovethefog,movequickly.Tra?cslowsasitgetsfunneledthroughanarrowpasswhileotherroadswithalternateroutesmakegoodtime.Ifacriticalbridgeiswas
7、hedoutbyrainthensometravelersmaynotmakeithomeatallthatnight.Liketheviewfromtheairplaneabove,classicassetpricingresearchassumesonlythatpriceseventuallyreachtheirequilibriumvalue,theroutetakenandspeedofachievingequilibriumisnotspeci?ed.Howdoesthepriceactuallyadjustfro
8、moneleveltoanother?Howlongwillittake?Willtheequilibriumbereachedatall?Howdomarketcharacteristicssuchastransparency,theabilityoftraderstovi
