A Study of the Fluctuation Density in Stock Market of China Based on the Time Feature

Composition of fluctuation in financial market is analyzed and the view that fluctuation should comprise density characteristic is raised. On the basis of autoregressive conditional duration model and representative variables denoting the density characteristic in China stock market, theoretical models depicting the characteristic are built up and the density of fluctuation of individual stock in the course of transaction in Shanghai Stock Market is tested. The research results indicate that the transaction clustering is caused by the imformation trading which is based on private information.The introduction of private information leads to a higher fluctuation in the direction of time in Chinese stock market.