Nonlinear Dynamic Characteristic Analysis of Conditional Jump Duration

Jiayi Xu; Lianqian Yin

doi:10.54691/bcpbm.v15i.291

Authors

Jiayi Xu
Lianqian Yin

DOI:

https://doi.org/10.54691/bcpbm.v15i.291

Keywords:

Realized Jump; Time Duration; Autoregressive Conditional Duration Model (ACD).

Abstract

Based on the five-minute tick market data of the Shanghai Composite Index from 2015 to 2019, the time duration of the jumps is realized by extracting the dynamic behavior model of the asset price to achieve the jumps, the dynamic process of the jump changes is described, and the broad ACD (1,1) model is established for the time duration sequence, which achieves a good fit for the dynamic behavior of the jump time duration. The results show that there is also aggregation effect in the time duration of the jumps, which shows that the intermittent phenomenon of the jump in asset prices opens up new ideas for further studying the characteristics and movement laws of asset price jump behavior from the perspective of jumping intensity.

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