Empirical study of Chinese stock market microstructure based on irregularly spaced data
Chunfeng Wang · Journal of systems engineering · 2005
A model for analysis of the irregularly time span, which is called autoregressive conditional duration, is introduced in this paper. The models with exponential and Weibull distribution are estimated by the maximum likelihood estimation means and their characteristics are tested. On the basis of the WACD model, the paper verifies the transaction clustering character of single stock in Shanghai stock market. The research results indicate that the transaction clustering is caused by the transaction process based on the private information and the volatility is magnified due to the private information introduction in stock market of China.