1、(1)tttpm 0(|)ttssE dp F00(|)(|)ttssssIVCov dCov dpmFFtm0(2)ttssdmW,(),1,2,si jsi jK ttt 0ttsIVds0|,(,)tttttsNdsp 10(3)ttNtssiidmWY 0()ttN iYtm111|00,lim()()(4)jjjjntttttj p ppppp,(5)ttp pm m00,(6)ttssss tds p pmm sssmmm0,ttsdsm m 0|,(,)tttttsNdsp 111,()()(7)iiiiMMMMMtMtip ppppp0lim,tMttsMdsp pp p 0(
2、,)()|(,)(,)(8)tMtStM vechpvechdsN 0p L (1)(1):22tK KK K,1,0()(9)lkstklkklltsssk k l lKds 0(,)tklMkltsMdspp 0(,)tklMk ltsMds pp t tttsdpdtdW20ttsIVds121,lim()iiMMMttMip ppp,ttIVp p1()2,1,()iiMMM b aMa baaip ppp,Ma bp p,bap pp p2bbasaIVIVds2111(,)lim|(10)riiMMMtrtMiV p rpMpp122121111121(;,)lim|(11)rri
3、iiiMMMMMtrrtMiV p r rpMpppp0(,)(12)trtrsV p rds1212120(;,)(13)trrtrrsV p r rds 21212(1)|2,()rrrrE u(0,1)uN120rr01(0,2)(,),2(14)2trsrttdsrV p rp prr121212011121212max(,)2(;,)()max(,)2(15)max(,)2rtrrsrdsr rV p r rX tr rrr 2200,ttsss tp pdsp 22120(;1,1)ttV pds(;1,1)MV p20(,2)(;1,1)ss tpV pV p 0ln(,)ln(
4、)|(,)(,)(16)tMtstttMvechvechdsN 0p pCC L 1ln(,)MttdiagvechCp p10(,)ln()0RVg RVRVttttpp1iiMMMirpp1iiMMMtrppMMMiiierr1iiMMMie2()0,(),tttsEVarst 224()tVar 阶数 自相关函数 t 值 1-.47636-172.31 2 0.03113 11.26 3 0.01161 4.20 第 i 笔交易 第 i-1 笔交易“+”“0”“-”边际和“+”612 12840 12985 26437“0”12277 52313 12990 77580“-”13550
5、12431 615 26596 边际和 26439 77584 26590 130613 111(,)()(),1,0,1,iii hi hMMMMMtMhiX YXXYYhHH ()(,)MMhhXX X011()()()()(),(17)HMMMMhhhhKppkppH0()Mp,Mtp p10,020()kk x dx11,120()kk xdx12,220()kkx dx2240/tstds2400/ttssdstds40tsds230()Hc Mt16240,022240000()(0,4(0)(1)(18)ttMssnKpdsNtds c kckk L120(0)(1)0,()kk
6、mHc Mt14240,011,1232,2400000()(0,42)(19)ttMssnKpdsNtds c kckc k L40tsds0101,0nnt ttttttG(,)111 21,kK kkkKkKkc Ktttt G1knkcK02,KKn Kntttttppppp11211,KKn Kttttpppp22222,Kn Kttttpppp121311,KKKnttttpppp11(1)(,)21,()kkiKkiKCK ktttip ppp ()(,)21011,()(20)i KiKn KKK kttttkip pp pppKK(,)()(),(21)K JKJKtttJn
7、TSRVp pp pn(1)/KnnKK(1)/JnnJJ12(,)()()11,(22)WiWK KKKalltittiWRVMSRVw p pp pn 最高频率个低频加权和12,WK KK11Wiiw16n14n14n16n()ht t hE0h0h()0lutttEpp00,luluttttt00022211112(23)MMMMiiiiiiiiirrer e224100()(0,2)(24)ttMissiMrdsNds L2222011()(0,22()(25)MMiitiiMeEeNVar L22010(0,4)(26)tMiisir eNds L1()OM201/(2)MiidiirM,201()/(2)Miid ciirRVMln,000expln/(2)ciidRVM000(27)22llhhMMMMACAClhRVRVRVRVMM,lhlhMMMMACACRVRVRVRV以及hMlM01lM00(1)0(0,)(|)()(|)TTiititittttTiTiitttCARTARRE RXppE RX22(1)00()()TTiititi tttRV TRpp
