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

FANG Zhen-ming

Volume 20 Issue 4

Jul. 2021

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Article Navigation > Journal of University of Science and Technology Beijing ( Social Sciences Edition) > 2004 > 20(4): 28-31

FANG Zhen-ming. A Study of the Fluctuation Density in Stock Market of China Based on the Time Feature[J]. Journal of University of Science and Technology Beijing ( Social Sciences Edition), 2004, 20(4): 28-31.

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FANG Zhen-ming. A Study of the Fluctuation Density in Stock Market of China Based on the Time Feature[J]. Journal of University of Science and Technology Beijing ( Social Sciences Edition), 2004, 20(4): 28-31.

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

FANG Zhen-ming

Management school of Tianjin University, Tianjin 300072, China

Received Date: 2004-09-20
Available Online: 2021-07-06

Abstract

Abstract

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.
- duration,
- ACD model,
- fluctation density feature

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