本文選題：高頻數(shù)據(jù)　切入點(diǎn)：持續(xù)期　出處：《山西財(cái)經(jīng)大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

【摘要】：本文是在張所地教授主持的課題《太原不銹鋼產(chǎn)業(yè)園區(qū)國(guó)民經(jīng)濟(jì)與社會(huì)發(fā)展的第十二個(gè)五年規(guī)劃》的研究基礎(chǔ)上和資助下，從股市高頻數(shù)據(jù)反映的股票特征角度出發(fā)，就太鋼不銹股票流動(dòng)性、股價(jià)波動(dòng)和信息披露等方面進(jìn)行實(shí)證分析，揭示出了太鋼不銹鋼公司面臨得經(jīng)營(yíng)管理問題，給出了解決思路，主要工作如下： 1.收集整理太鋼不銹股市高頻數(shù)據(jù)，并對(duì)高頻數(shù)據(jù)特征予以分析。 收集了2011年下半年來太鋼不銹的股市高頻數(shù)據(jù)，整理出股票交易持續(xù)期、固定持續(xù)期下的日均價(jià)格、日內(nèi)成交量以及超閾值成交量等數(shù)據(jù)。經(jīng)分析，太鋼不銹高頻數(shù)據(jù)交易持續(xù)期呈現(xiàn)明顯的“倒U型”日內(nèi)效應(yīng)，，通過構(gòu)建方法將日內(nèi)效應(yīng)予以剔除，改善了樣本序列的離散程度。 2.對(duì)高頻數(shù)據(jù)進(jìn)行深入研究，結(jié)合市場(chǎng)微觀結(jié)構(gòu)理論揭示了交易持續(xù)期、日內(nèi)成交量和尾指數(shù)對(duì)股票流動(dòng)性及波動(dòng)性的影響。 運(yùn)用WACD模型對(duì)交易持續(xù)期進(jìn)行實(shí)證研究，分析了交易持續(xù)期及股票流動(dòng)性的集聚性；通過對(duì)日內(nèi)成交量與股價(jià)波動(dòng)的因果分析，以及廣義pareto分布下超閾值高頻數(shù)據(jù)尾部分析，揭示了日內(nèi)成交量和尾指數(shù)對(duì)股票流動(dòng)性及股價(jià)波動(dòng)的影響； 3.揭示了太鋼不銹鋼公司面臨的經(jīng)營(yíng)管理問題。 通過太鋼不銹高頻數(shù)據(jù)反映的股票特征，結(jié)合太鋼不銹鋼公司實(shí)際情況揭示公司面臨的經(jīng)營(yíng)管理問題，主要表現(xiàn)為公司經(jīng)營(yíng)管理方式、業(yè)務(wù)模式上的不足，對(duì)股價(jià)關(guān)心不夠并缺乏有效風(fēng)險(xiǎn)防控措施來降低股價(jià)波動(dòng)，同時(shí)該公司也面臨著短期融資問題。
[Abstract]:This paper is based on the research of the 12th Five-Year Plan for the National economy and Social Development of Taiyuan stainless Steel Industrial Park, which is sponsored by Professor Zhang Yu-di, and from the perspective of the stock characteristics reflected by the high frequency data of the stock market. Based on the empirical analysis of stainless steel stock liquidity, stock price fluctuation and information disclosure, this paper reveals the management problems faced by stainless steel company of Taiyuan Iron and Steel Co., Ltd., and gives the solutions. The main work is as follows:. 1. Collect and sort out the high frequency data of stainless stock market of TISCO, and analyze the characteristics of high frequency data. Collecting the high frequency data of the stainless stock market of Taiyuan Iron and Steel Company since the second half of 2011, sorting out the data of the stock trading duration, the daily average price under the fixed period, the intraday trading volume and the over-threshold trading volume and so on. The high frequency data trading duration of stainless steel in Taiyuan Iron and Steel Co., Ltd is obviously "inverted U-shaped" intraday effect. The intra-day effect is eliminated by the method of construction, and the dispersion of sample sequence is improved. 2. The effects of trading duration, intraday trading volume and tail index on stock liquidity and volatility are revealed based on the theory of market microstructure. Using WACD model, the paper analyzes the agglomeration of trading duration and stock liquidity, analyzes the cause and effect of intraday trading volume and stock price volatility, and analyzes the tail of ultra-threshold high-frequency data under generalized pareto distribution. The influence of intraday turnover and tail index on stock liquidity and stock price volatility is revealed. 3. The problems of operation and management faced by the stainless steel company of Taiyuan Iron and Steel Co., Ltd are revealed. Through the stock characteristics reflected by the high frequency data of stainless steel in Taigang, combined with the actual situation of stainless steel company of Taiyuan Iron and Steel Co., the problems of management and management faced by the company are revealed, which are mainly reflected in the deficiency of the management mode and business model of the company. There is a lack of concern for share prices and lack of effective risk control measures to reduce volatility, while the company faces short-term financing problems.
【學(xué)位授予單位】：山西財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.51;F426.31;F224

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