数学杂志2002，Vol.22Issue(3)：255-260,6.
不同步交易的滑动平均模型及其回报分析
MOVING AVERAGE MODEL OF NONSYNCHRONOUS TRADING
摘要
Abstract
Nonsynchronous trading is one of the hot issues in financial high-frequencydata processing.This paper extends the nonsynchronous trading model studied in [1] and [2] for the financial security, andconsiders the moment functions of the observable return series for the extended model. At last, theestimators of parameters are discussed.关键词
高频数据/不同步交易/回报/矩/参数估计Key words
High-Frequency data/nonsynchronous trading/return/moment functions/parameters estimation分类
管理科学引用本文复制引用
刘小茂,张钧..不同步交易的滑动平均模型及其回报分析[J].数学杂志,2002,22(3):255-260,6.基金项目
Foundation item: Supported by the National Natural Science Foundation of China (70071012) （70071012）
