Research on the Trade Duration of HS300 Index Based on ACD Model

Abstract

This paper analyses the trade duration of HS300 index ultra-high frequency data using ACD model. First, we research the amplitude characteristics of the volatility in spatial direction, and analyze the density characteristics of the volatility in time axis. Then from the angle of the three-dimensional we make a comprehensive analysis on high frequency data in space and time. Finally, by constructing an EACD (1, 1) model to fit transaction duration, we find that there exists a bigger fluctuation in the transaction duration, and that sometimes trade is in a state of very inactive.