Estimating Long Memory Stochastic Volatility Model and Forecasting Using Volatility Based on High Frequency Data from Chinese Stock Markets;

The Effects of Tick Size on the Liquidity of Chinese Stock Market:An Empirical Research on the Basis of High Frequency Data;

Return Volatility Analysis in Stock Market of China:High Frequency Data Showing the Characteristic;

Research on the modelling of realized volatility based on multivariate high-frequency data;

Review of Empirical Research on Financial Market Microstructure Based on High-frequency Data;

This paper adopts minutely high-frequency data of yields,volumes and open interests of the six commodities futures in three exchanges of China to probe into their intraday change patterns,and discovers the `L pattern intraday movement of absolute yield and volume.

Because modeling for ultra-high frequency data can not only make up the shortcoming of modeling for data which have the same interval traditionally,but also discern microstructure of financial market.