ֻ13जֻ5௹ܵ ॓ ࿐ ࿐ Б 2010୍5ᄅ JOURNALOFMANAGEMENTSCIENCESINCHINAMay2010ᇏݓ௹ࠊ൧ӆࡎࣲ۬௹ѯऊোหᆘ࣮¹刘向丽1,程 刚2,成思危3,汪寿阳3,洪永淼4(1.ᇏနҍࣜն࿐ࣁವ࿐ჽ,Кࣘ100081;2.ཐۖӬ൧ն࿐ࣜ࠶აࣁವ࿐༢,ᇏݓཐۖ;3.ᇏݓ॓࿐ჽඔ࿐ა༢॓࿐࣮ჽ,Кࣘ100190;4.ૅݓूମغն࿐ࣜ࠶࿐༢ა࠹॓࿐༢,୧ჿ14850)ᅋေ:分别在四种残差分布假设下对四种ACD模型进行参数估计,通过检验模型的性能,分析适合我国期货市场的ACD模型及残差的分布.并以此为基础,在价格久期模型中,分别加入久期内平均交易量a久期内平均绝对收益率和久期时点处的持仓量这三个微观结构因子,据此分析交易强度a价格波动和市场深度对价格久期的影响.实证结果表明:复杂的ACD模型并不能显著提高模型拟合能力,但各残差分布间差异较大.久期内的平均交易量a平均绝对收益率对价格久期都有显著的负向作用,而持仓量对其有微弱的影响.引入微观结构变量的扩展模型比封闭的模型表现更好.ܱՍ:久期;ACD模型;微观结构;聚类效应ᇏٳোݼ: ໓ངѓ്:A ໓ᅣщݼ:1007-9807(2010)05-0072-100 ႄ ބᇉਈ,ؓࢌၞऊোหᆘ֥ख़߂൞ھଆ֥Ⴊ൝ᆭԩ,ؓဒऎႵൈࡗหᆘ֥൧ӆັܴࢲܒࡌഡᄝۚࣁವඔऌᇏ,Ԣਔࢌၞ֥ࡎ۬a൬ၭa္ऎႵཌྷ֒ն֥Ⴊ൝.ࢌၞਈ֩ྐ༏ຓ,ࢌၞࠇࡎࣲ֥۬௹(ӻ࿃ൈࡗACDଆ၂ࣜิԛ,ࣼႄఏਔದૌ֥ܼܱٗ)္൞၂۱٤ӈᇗေ֥эਈ.ࣲ௹ᄝଖᇕӱ؇ഈّᇿ[2][3],ѩ҂؎Фປ.EngleބRussellၛࠣEngle႘ਔࢌၞᆀ֥थҦݖӱ,ႵᇹႿਔࢳࢌၞݖӱ֥ࣉ၂҄ປਔACDଆ,ႨACDଆࢠݺֹປэ߄.Ⴈۚඔऌॖၛ۷ݺ֥ਔࢳ൧ӆ֥ѯྟ,Ӯਔؓࢌၞੱ֩ൌൈࢌၞэਈ֥ყҩ,Ֆൈࡗѯྟ҂Їও๙ӈ֥ѯږ؇֥նཬބૡࠢӱ࢘؇ဒਔ൧ӆັܴࢲܒ,ંؓࣁವ൧ӆັܴ؇֥э߄,طߎЇওൌൈࢌၞݖӱᇏࡎࣲ۬௹ࢲܒં֥ປބؿᅚఏ֞ਔ఼ն֥ቔႨ.֥ѯэ߄.B[4]auwensބGiotؿᅚਔE[2]ngleބRussell֥ଆE[1]ngle൮ՑิԛACD(autoregressivecond-i,ิԛਔؓඔྙൔ֥ACDଆ,ႨؓඔACDଆtionalduration)ଆႨၛ࣮҂֩ൈࡗࡗۯ֥ࢌॖၛх૧ཌྟACDଆൌᆣᇏ֥၂ུҕඔჿၞ֥࠹หᆘ,ѩޓݺ֥ყҩਔຓ߸ࢌၞࡎ۬࿘ඏ,ิ܂ਔဒᆣ൧ӆັܴࡌഡ۷ކൡ֥ॿࡏଆ.ࡎ֥э߄ੱ,০Ⴈࢌၞ֞ղൈࡗބઙછࡎ۷ྍB[5]auwensetalбࢠࡎਔҗҵࠎႿ҂ٳ҃ૡൈࡗؓ൧ӆັܴࢲܒࣉྛਔٳ༅.ACDଆ൞၂؇֥ACDଆ[6].BauwensބGiotิԛਔ٤ؓӫ۱ܱႿൈࡗ֥ଆ,ቋࠎЧ֥ႋႨ൞ॖၛҩਈބACDଆ.D[7,8]rostބWerkerิԛѩܒࡹਔ϶ҕყҩࢌၞ֞ղݖӱ఼֥؇,Ֆطܴҩ൧ӆི֥ੱඔACDଆ.ෛሢACDଆ֥҂؎ؿᅚປ,ః¹൬۠ರ௹:2008-04-21;ྩרರ௹:2009-05-21.ࠎࣁཛଢ:ᇏနҍࣜն࿐211۽ӱ௹ᇗׄ࿐॓ࡹഡሧᇹཛଢ.ቔᆀࡥࢺ:ਾཟৡ(1974)),୯,༆ದ,ڬ࢝൱.Emai:llxlbx@
ֻ5௹ਾཟৡ֩:ᇏݓ௹ࠊ൧ӆࡎࣲ۬௹ѯऊোหᆘ࣮)73)ႋႨ္ᄀটᄀܼ.E[9]ngleandDufourࣉ၂҄ษંݖಀ֥ྐ༏ಆ҆๙ݖWi႕ཙགྷᄝࣲ֥௹.၂Ϯ,ෛࠏࢌၞࡗۯᄝᆜ۱ࡎ۬ྙӮݖӱᇏི֥ႋၛࠣWi൞ݖಀࣲ௹ၛࠣః่ࡱ௹ຬ֥ݦඔ,۴ऌݦඔࡎ۬ؓࢌၞݖӱބؓੀྟڄག֥႕ཙ.Renaultྙൔ֥҂,ӈႨ֥Ⴕބ[10]]ScailletބG[11iotิԛϜACDଆ֥ٚمა1)E[2]ngleandRussellิԛ֥LINEAR-ACD௹ಃקࡎބರଽڄགܵ৳༢ఏট.ଆ൞,ݓຓؓACDଆ֥࣮ն൞ؓຓ߸Wi=X+Axi-1+BWi-1(2)൧ӆაᆣಊ൧ӆ,ݓଽؓັܴࢲܒ္֥࣮նఃᇏ:X>0,A\0,B\0,A+B<1.ཋႿᆣಊ൧ӆ.ཬaᄻႧބนཬ[12]ᆷԛ൧2)BauwensandG[4]iotิԛ֥LOG-ACDӆࢌၞࠏᇅ֥҂a൧ӆҕაᆀ֥ྛູၛࠣ൧ӆଆ֥ᇉਈ֩߶႕ཙࣁವሧӁ֥ࡎ۬ؿགྷݖӱ.ॉlnWi=X+AlnEi-1+BlnWi-1(3)੮֞ᆣಊ൧ӆ֥ࢌၞᆀၛं؟,ط௹ࠊ൧ӆх૧ਔཌྟACDଆႅݣ֥ҕඔჿඏ,۷ࡆٚь֥ࢌၞᆀၛࠏܒሧᆀं؟,ః൧ӆັܴࢲܒсކ,ൈູਔဒ൧ӆັܴࢲܒིႋ,ߎॖၛٚಖ߶Ⴕ҂.ߩaԊڂ[13]ՖࢌၞҦ֥࢘؇ь֥ࡆೆఃຓള่֥ࡱэਈ.࣮ؿགྷ,ᆣಊགྷࠊ൧ӆބ௹ࠊ൧ӆ֥ັܴࢲܒ[14]3)DufourandEngleิԛ֥BOX-COX-ACD҂.Ч໓Ֆࣲ௹֥࢘؇ট࣮௹ࠊ൧ӆ֥ັܴଆࢲܒ,๙ݖࡹଆᅳԛൡކݓ௹ࠊ൧ӆ֥ACDଆlnWi=X+AEDi-1+BlnWi-1(4)ࠣҗҵ֥ٳ,҃ࣉطॉҳࡎࣲ۬௹֥ѯหྟ.္൞၂ᇕ٤ཌྟଆ,Dv0ൈ,BOX-COX-ACDଆѩၛՎູࠎԤܒࡹঔᅚࣲ௹ଆ,ٳ༅ࢌၞਈa൬ࣼ߄ູLOG-ACDଆ.ၭੱބӻҝਈؓࡎࣲ۬௹֥႕ཙ[14].4)DufourandEngleิԛ֥EX-ACDଆlnWi=X+AEi-1+DE|i-1-1+BlnW|i-11 ٚ م(5)္൞၂ᇕ٤ཌྟଆ,ॖၛ૭ඍ٤ؓӫིႋ.ࡎ۬ѯ֥ऊোྟ൞ᆷᄝ၂؍ൈࡗଽࡎ۬эܱႿҗҵEi֥ٳ,҃ᆷඔٳ҃൞ACDଆ֥бࢠَaૡࠢ,эږ؇бࢠն,طᄝਸ਼၂؍࣮ఏׄ,گᄖུߎႵӈ֥ຯ҃غٳ҃aܼၬኸൈࡗࡎ۬эಏбࢠ֎,эږ؇бࢠཬ,္ࠧઔٳ҃ބ۷ູگᄖ֥҃غٳ.҃؋֥ࡎࣲ۬௹ު૫္ສສ۵ෛሢ؋֥ࡎࣲ۬௹,1)ѓሙᆷඔٳ҃(E)Ӊ֥ࡎࣲ۬௹ު૫္ສສ۵ෛሢӉ֥ࡎࣲ۬௹ x\0๙ݖf(x)=(6)ACDଆؓࡎ۬эऊোྟࣉྛ࣮.0 x< ACDଆࠣѯऊোྟဒ2)ຯ҃غٳ҃(W)ACDଆაGARCHଆऎႵཌྷර֥ࢲܒหCᆘC1C-1-1[#(1+xeC)xC]#1+ x\0,f(x)=[(C)].GARCHଆᇶေ૭ඍѯ֥ऊোྟ,ACDଆᇶေ૭ඍࣲ௹֥ऊো.ྟGARCHଆ൞ؓٚ0 x<0ҵ֥ሱ݂߭ݖӱ,طACDଆ൞ࣲؓ௹֥ሱ݂߭ C>0(7)ݖӱ.ACDଆ൞࣮ѯྟૡ؇หᆘ֥ࠎԤ.֒C=1ൈ,ຯ҃غٳ҃ࣼ߄ູᆷඔٳ.҃C<1ഡxіൕ۷ॖିіགྷԛࢠ؋ࣲ֥௹ᆴ,C>1іൕ۷ॖiູࣜัԢರଽིႋު֥ࡎࣲ۬௹ਙ,ҕॉD14][5]ufourandE[ngleބBauwensetal֥ቓିіགྷԛࢠӉࣲ֥௹.م3)ܼၬኸઔٳ҃(G),Ч໓ॉ੮ቋࡥֆ֥aऎႵսіྟ֥ACD(1,1)ଆ.ACDଆϜࣲ௹іൕCK:ູKCK-1Cx#K1+(C-x#(K1+C))e#(K)x\0xi=WiEi(1)f(x)=#(K)#(K)ఃᇏWi=E(xiI|i-1),Ii-1ູti-1ൈख़֥ྐ༏ࠢ,0 x<0
)74)ܵ ॓ ࿐ ࿐ Б2010୍5ᄅ C,K>0(8)۲эਈ֥ರଽ൝,ᄜࡼఃႄೆLOG-ACDଆ.֒K=1ൈ,ܼၬኸઔٳ҃ࣼ߄ູຯ҃غٳ҃;Ч໓ܒᄯਔၛ༯ඹᇕঔᅚACDଆ.֒C=K=1ൈ,ܼၬኸઔٳ҃ࣼ߄ູᆷඔٳlnWi=X+AlnEi-1+BlnWi-1+Qavoli-1.҃֒KC<1,C>1ൈ,іൕࢌၞ҂ޓࠃᄁ.֒(10)KC>1,C<1ൈ,іൕࢌၞޓࠃᄁ.lnWi=X+AlnEi-1+BlnWi-1+Hoii-14)҃غٳ҃(B)(11)CC-1C-1(1+xK)1+KxlnWi=X+AlnEi-1+BlnWi-1+Jayieldi-1 x\0f(x)=c(c)[(c)](12)0 x<0lnWi=X+AlnEi-1+BlnWi-1+Qavoli-1+ C>K>0(9) Hoii-1+Jyieldi-1(13)K1+1C#(1+1ఃᇏK)c=1112 ൌᆣٳ༅#(1+C)#(K-C)E[2]ngleބRussellᆷԛ,ACDଆѽሚඔऌ ඔऌ૭ඍაყԩི֥৯ॖၛ๙ݖѓሙҗҵEi=xi/WiটॉҰ.ၹູЧ໓ҐႨᇏݓ௹ࠊ൧ӆ֥ࢌၞбࢠࠃᄁ֥Ⴕҗҵ൞ଆ҂ିყҩ֥҆ٳ,෮ၛೂݔھҗҵ൞սіྟ֥ੂ۱അ௹ࠊᇕ֥1ٳᇒඔऌ.ඔऌϢᄮല,ᄵACDଆࣲؓ௹ሱ݂߭ࢲܒ֥૭ඍ൞টჷႿൗҍބ໓ҍࣜ.ඔऌЇওࢌၞؿളӮۿ֥,ᆃॖၛ০ႨLjung-Box֥Q࠹ਈটൈख़aࡎ۬aࢌၞਈࠣӻҝਈ.Ֆ2007୍4ᄅ27ರဒ.֞9ᄅ28ರ,ఃᇏૣၹඔऌჰၹ,ᆺ֞8ᄅ15ؓႿᇏݓ௹ࠊ൧ӆ֥࣮,൮ေ֥ࣼ൞ေಒರ,οᅶࢌၞቋࠃᄁ֥ކჿটܒᄯ৵࿃௹ࠊކჿ.קACDଆᇏෛࠏಠཛٳ֥҃ቋࡄࡌഡࠣࡎࣲ۬௹ᆷభުਆՑࡎ۬э߄ӑݖଖ၂لᆴACDଆ֥ྙൔ.c෮ླ֥ൈࡗ.Ч໓ؓ౼c=20,ؓ฿ಖཝࢋ౼ ႄೆັܴࢲܒэਈ֥ACDଆࠣັܴࢲc=10,ؓն౼c=1,ؓზ౼c=1,ؓૣ౼ܒࡌഡဒᆣԮ֥c=5,఼ؓચ౼c=ଆࣇࣲؓ௹Чദࣉྛࡹଆ,҂ടࠣఃޅэਈ,൞၂۱ٿо֥ଆ,ીႵԉٳ০Ⴈۚඔऌ֥پڶྐ༏,ೂࢌၞᆀ֥ྛູหᆘaࢌၞਈaઙછࡎҵaࢌၞੱ֩.ູਔႵི֥০Ⴈۚඔऌ֥หᆘ,Ч໓ॉ੮ᄝACDଆᇏႄೆ၂ུྍ֥ັܴэਈ,টဒᆣ൧ӆັܴࢲܒࡌഡ.նਈ֥࣮ؓࢌၞਈᄝࡎ۬эᇏ֥ᇗေቔႨࣉྛਔ࣮,Ч໓Ֆັܴࢲܒ֥࢘؇ԛؿ,Ֆྐ༏Ԯ־֥࢘؇࣮ࢌၞਈaӻҝਈa൬ၭੱؓࡎࣲ۬௹֥႕ཙ.ႮႿૌສສࣲؓ௹ऎႵڵིႋ,ູЌᆣࡆೆັܴэਈު҂ԛགྷڵ֥௹ຬࣲ1 ࡎࣲ۬௹ರଽ൝௹,ૌҐႨLOG-ACDଆ,җҵٳ҃ࡌഡູຯ҃غٳ҃ᇿ:ޘቕѓսіࢌၞൈࡗ֒฿ਬൈ֥ٳᇒඔ,ೂ9:00ष.,ؓႋ֥൞540ԩ.ሺቕѓіൕ۲ࣲ௹֥ყҩᆴ,ࠧಒקྟ҆ٳЧ໓ܒᄯਔၛࡎࣲ۬௹ଽनࢌၞਈavoladurf.ཋႿږ,Ч໓ᆺ۳ԛਔ֥ࡎࣲ۬௹֥ರଽ൝,ఃiࣲ௹ൈׄԩ֥ӻҝਈoiaࣲ௹ଽनधؓ൬ၭੱᇕোර.ayieldቔູັܴࢳэਈ,ٳљটҩਈࢌၞݖӱॖၛुԛࡎࣲ۬௹թᄝሢૼཁ֥/ರଽིᇏ֥ࢌၞૡ؇a൧ӆധ؇ބ൧ӆѯྟ.൮༵ัוႋ0,ರଽሹุഈࠎЧӯ/H0ࠇ/#0หᆘ,ष
ֻ5௹ਾཟৡ֩:ᇏݓ௹ࠊ൧ӆࡎࣲ۬௹ѯऊোหᆘ࣮)75)ൈࡎ۬ѯбࢠखਛ,эଖ၂ږ؇෮ླൈࡗࢠ่ݦඔট૭ඍఃರଽིႋ҆ٳdurfi.ัԢರଽིഒ,ෛުࡎ۬ѯбࢠߏ,э၂ږ؇෮ླൈႋᆭުࣲ֥௹ਙ,Ч໓ӫູטᆜࣲ௹ਙ,࠺ູࡗࢠ؟,ᄝਢ࣍൬ൈ,ࣲ௹Ⴛष༯ࢆ,ಯնdursi,ࠧdursi=duri/durfi.Ⴟषൈࣲ֥௹,ࡗྨ༏༯ᇗषު,Վൈטᆜުࣲ௹іൕնႿࠇཬႿनᆴ֥б২,ࣜෙಖીႵࠢކࣩࡎ,ࣲ௹ಯಖ൞༵Ⴎཬ֞ն,ᄜ࠹ෘטᆜު۲ࣲ௹֥नᆴࠎЧ֩Ⴟ1,іૼၘ҂֞ཬ,োරႿ၂۱ྍ֥ष.ᆃུࢲݔაЧ໓ቔ൳ರଽଆൔ֥႕ཙ.ۚඔऌა֮ඔऌ၂۱٤ᆀ[15]൬ၭੱ֥/L0ሼ൝൞၂ᇁ.֥ӈն֥љᄝႿۚൈࡗਙऎႵ٤ӈ఼֥ሱཌྷູٝᆸᆃᇕರଽིႋؓඔऌٳ༅֥႕ཙ,ႋܱྟ.ჰࣲ௹durაטᆜުࣲ֥௹durs֥ሱཌྷ൮༵ัԢರଽིႋؓଆ֥ۄಠ.Ч໓Ⴈཌྟဢܱྟဒࢲݔі1.і1 ัԢರଽଆൔభުࡎࣲ۬௹֥ሱཌྷܱྟ(10)Q(20)Q(30)Q(10)Q(20)Q(30)()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()() Ⴎі1ॖᆩ,טᆜުࣲ֥௹dursਙಯಖऎ۬ޓ໗.ଆޓݺ֥ࢳਔࡎࣲ۬௹֥ऊোགྷႵޓ఼֥ሱཌྷ,ܱѩऎႵაჰਙႵ٤ӈཌྷරའ,ᆃބ[2]EngleބRussell,Bauwensބ[4]Giot֥൝,ൈ෮Ⴕᇕ֥Q࠹ਈಯಖჹჹӑ֩ؓૅݓ൧ӆ֥࣮ࢲં൞োර֥,္აᇏݓᆣݖཁᇷྟඣູ5%ൈ֥ਢࢸᆴ.ᆃіૼࣲ௹ಊ൧ӆ֥ࢲંোර.ਙ֥ሱཌྷܱѩ҂൞ᇶေটሱರଽଆൔ.༯૫ؓdursࡹ৫ACDଆՖQ࠹ਈট,ुඹᇕACDࡹଆ,ࠎЧॖ.ၛัԢሱཌྷܱ,ѩაࡥֆ֥LINEAR-ACDބ ACDଆܙ࠹ࠣဒࢲݔඔᆴෘمҐႨ[16]Berndt֩ิԛ֥LOG-ACDཌྷб,گᄖ֥BOXCOX-ACDބBHHHෘم,ऎႵ۷ݺ֥൬৻ྟބ൬৻؇.ࠞն߄රಖݦEX-ACDଆіགྷໃс۷ݺ,රಖݦඔᆴཁᇷඔ,֤֞ࡎࣲ۬௹ଆ֥ҕඔܙ࠹ࢲݔҵၳ,طࡥֆ֥ଆࢲݔ۷ູ໗ק.ႮႿ.ॖၛुԛLOG-ACDଆؓҕඔીႵཋᇅ,ॖၛٚь֥ࡆೆ,ؓႿLINEAR-ACDଆ,༢ඔބA+B٤ӈࢤ࣍Ⴟ1,ඪૼࡎࣲ۬௹ӻ࿃ྟޓ఼ఃэਈ,ൡႨٓຶ۷ܼ,ൈ္ॉ੮ࣲ֞௹ऊো,ऎႵޓ఼֥ऊোྟᇏॖିႵ٤ཌྟၹ֥႕ཙ,෮ၛૌᄝު࿃.ࠧݓ௹ࠊ൧ӆᇏ,ສສᄝ၂؍ൈࡗଽࡎ۬эޓ,َطᄝਸ਼၂؍ൈࡗଽࡎ࣮ᇏҐႨLOG-ACDଆ.
)76)ܵ ॓ ࿐ ࿐ Б2010୍5ᄅі2 ACDଆҕඔܙ࠹ࢲݔ(10)Q(20)Q(30)()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()() ᇿ:ཋႿږ,Ч໓ᆺ۳ԛਔ֥ࡎࣲ۬௹֥ҕඔܙ࠹ࢲݔ,ఃᇕোර. Ֆҗҵ֥ٳ҃টु,җҵڛՖᆷඔٳ҃ބຯކൡ.҃غٳ҃ൈ,ଆ֥༢ඔࢲݔࠣQ࠹ਈ၂Ϯሹุഈ,Ֆܙ࠹ࢲݔটु,၂ᇕٳ҃,҂٤ӈཁᇷ,ཌྷؓط,ຯ҃غٳ҃ൈ,රಖݦඔᆴ֥ACDଆ,ఃරಖݦඔᆴބҕඔܙ࠹ᆴҵљ҂۷ն.֒җҵڛՖܼၬኸઔٳ҃ൈ,ႮႿࢲݔ٤ӈն,၂۱ACDଆ༯,҂ٳ҃ᆭࡗරಖݦ҂໗ק,ૌࡼఃಀ,ીႵਙԛ.֒җҵڛՖ҃ඔᆴҵљࢠն,၂Ϯط,֒җҵڛՖ҃غٳ҃غٳ҃ൈ,ෙಖරಖݦඔᆴቋն,༢ඔܙ࠹ࢲݔൈ,රಖݦඔᆴቋն,ఃՑ൞ຯ҃غٳ҃,ቋު൞ѩ҂໗ק,ؓԚᆴ֥၇ঠӱ؇ޓ,ۚն؟ඔ༢ᆷඔٳ҃.ᆃඪૼگᄖٳ҃ᄝކඔऌٚ૫ࢠඔ֥࠹ਈѩ҂ٳཁᇷ,طQ࠹ਈնႿݺ,ಏمປಆัԢሱཌྷܱ,ؓݓ௹ࠊ൧ӆཌྷႋ֥ਢࢸᆴ,ؓႋ֥pᆴಆູ0,ॖၛૼཁऋधࡎࣲ۬௹,ࡌקҗҵڛՖຯ҃غٳ҃ࢠູམ,ሱཌྷܱ༢ඔູ0֥ჰࡌഡ,ඪૼଆߎીႵޓ෮ၛᄝު࿃࣮ᇏ,ૌҐႨຯ҃غٳູ҃ݺ֥ཨԢਙ֥ሱཌྷܱ,ܙ࠹ࢲݔѩ҂མ.ᆃіࠎԤ.ૼ,ෙಖگᄖ֥ٳ҃ކིݔቋݺ,ᄝ၂ק֥ӱE[1-2]ngleބRussellᄝؓૅݓᆣಊ൧ӆ֥؇ഈ္ѩ҂ିܔޓݺ֥ཨԢਙ֥ሱཌྷ,ܱؓᇏဒؿགྷC<1,ඪૼڄགӯ༯ࢆ൝.Liu֩[17]ؓݓ௹ࠊ൧ӆط,ࡌഡҗҵڛՖ҃غٳ҃ѩ҂ჭؓૅჭބರჭؓૅჭ֥߸ੱ္࣮ؿགྷC<
ֻ5௹ਾཟৡ֩:ᇏݓ௹ࠊ൧ӆࡎࣲ۬௹ѯऊোหᆘ࣮)77)1.Ч໓ൌᆣࢲݔᇏC>1,ඪૼڄགഈொ,ᆃ္ࣉ ႄೆັܴࢲܒэਈ֥ACDଆܙ࠹ࠣ၂҄ඪૼ,࣮֥௹ࠊ൧ӆ֥ੂ۱ᇕෙಖᄝဒࢲݔݓ௹ࠊ൧ӆᇏіགྷཌྷؓࠃᄁ,൞აຓ߸൧ӆࠇ֒οᅶൔ(10),ႄೆਔࡎࣲ۬௹ଽनࢌၞఃݓ࠽Ӯඃ൧ӆཌྷб,ࠃᄁӱ؇ߎ൞ࢠҵ,෮ၛਈᆃ۱൧ӆັܴࢲܒၹሰൈ,ଆ֥ܙ࠹ࢲݔೂࡎࣲ۬௹іགྷԛӉࣲ௹֥หᆘ.і3෮ൕ.і3 ႄೆनࢌၞਈ֥ACDଆҕඔܙ࠹ࢲݔ-ACD-WXABCQLogLQ(10)Q(20)Q(30)()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()() ֒ૌοᅶൔ(11),ႄೆਔࣲ௹ൈׄԩ֥ӻೂі4෮ൕ.ҝਈᆃ۱൧ӆັܴࢲܒၹሰൈ,ଆ֥ܙ࠹ࢲݔі4 ႄೆӻҝਈ֥ACDଆҕඔܙ࠹ࢲݔ-ACD-WXABCHLogLQ(10)Q(20)Q(30)()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()() ֒οᅶൔ(12)ႄೆਔࡎࣲ۬௹ଽनधؓݔೂі5෮ൕ.൬ၭੱᆃ۱൧ӆັܴࢲܒၹሰൈ,ଆ֥ܙ࠹ࢲ
)78)ܵ ॓ ࿐ ࿐ Б2010୍5ᄅі5 ႄೆनधؓ൬ၭੱ֥ACDଆҕඔܙ࠹ࢲݔ-ACD-WXABCJLogLQ(10)Q(20)Q(30)()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()() ֒οᅶൔ(13),ൈႄೆਔࣲ௹ଽनࢌၞੱᆃ۱൧ӆັܴࢲܒၹሰൈ,ଆ֥ܙ࠹ࢲݔਈaࣲ௹ൈׄԩ֥ӻҝਈބࣲ௹ଽनधؓ൬ၭೂі6෮ൕ.і6 ൈႄೆनࢌၞਈaӻҝਈބनधؓ൬ၭੱ֥ACDଆҕඔܙ࠹ࢲݔ,openinterestandaverageabsoluteyieldasexplanatoryfactorsLOG-ACD-WXABCQHJLogLQ(10)Q(20)Q(30)()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()() ࢲݔіૼ:ࡎࣲ۬௹ଽ֥नࢌၞਈބࣲ௹ޓཬ,҆ٳ༢ඔ҂ཁᇷ.Ֆط္ඪૼႮႿࢌၞਈଽनधؓ൬ၭੱିؓࡎࣲ۬௹ऎႵޓݺ֥ࢳބӻҝਈᆭࡗႵ؟ᇗ܋ཌ,ྟࣲ௹эཬ֥ᇶି৯,ܙ࠹༢ඔཁᇷູڵ,ඪૼؓໃট֥ࢌၞေၹ൞ࢌၞਈ,ط҂൞ӻҝਈ.ૡࠢӱ؇Ӂളཁᇷ֥ڵٚཟ֥႕ཙ.նحࢌၞਈൈࡆೆࡎࣲ۬௹ଽ֥नࢌၞਈaࣲ௹ଽ֥ԛགྷ,ສສ߶֤ࡎ۬э۷ࡆَ.नࢌၞनधؓ൬ၭੱaࣲ௹ൈׄԩ֥ӻҝਈൈ,෮Ⴕ֥ਈᄀն,௹ຬ֥ࡎࣲ۬௹ᄀཬ,൧ӆڿэࣼᄀܙ࠹༢ඔູڵᆴ,ᆃაԮ֥ັܴࢲܒࡌඪ္ཌྷ,൧ӆ֥ࡎ۬ѯࣼᄀَ.໖ކ,֒ࡎࣲ۬௹ଽࢌၞਈᄀնൈ,ࠇӻҝਈᄀնӻҝਈؓࡎࣲ۬௹္Ⴕڵཟ֥႕ཙ,༢ඔࠇࡎ۬э߄ᄀնൈ,ၩሢྐ༏ࢌၞ֥֞ট,ᄝՎ
ֻ5௹ਾཟৡ֩:ᇏݓ௹ࠊ൧ӆࡎࣲ۬௹ѯऊোหᆘ࣮)79)ࠎԤഈࣉྛࢌၞ֝ᇁਔ൧ӆࢌၞ֥ૡࠢྟބ۷ۚଆކି৯,ٳ֥҃࿊ᄴбACDଆ֥࿊ᄴ۷֥൧ӆѯྟ,ᆃൈࢌၞ఼֥؇߶ᄹն,ࡎ۬э߄ᇗေ.၂Ϯط,گᄖ֥҃غٳ҃ؓဢЧଽඔऌखਛ,ၹՎཌྷႋ֥߶෪؋ࡎࣲ۬௹.ކቋݺ,ఃՑູຯ҃غٳ,҃ቋު൞၂Ϯ֥ࡥֆ֥۴ऌ൧ӆັܴࢲܒં,ೂݔ൞ੀྟࢌၞᆷඔٳ҃,҃غٳ҃ҕඔܙ࠹ࢲݔѩ҂໗ק,ᆀ֥ෛࠏࢌၞྛູ֝ᇁਔ൧ӆࢌၞݖӱ֥ऊোྟႵུ༢ඔ҂ཁᇷ,۷ᇗေ֥൞,ીିัԢוਙ֥߅,ପહݣႵ൧ӆઙછྐ༏֥۲ᇕսэਈၛሱཌྷ,ܱ෮ၛѩ҂ൡކ.ᄝࣂު࣮ࡹଆᇏॖၛॉࠣ֒భ൧ӆ֥ࢌၞሑঃ҂ႋھؓໃট֥ࢌၞऎႵ੮ຯ҃غٳ҃.ყҩ֥ି৯.ၹՎЧ໓ࢲંဒᆣਔEasleyބ3)ᄝঔᅚACDଆᇏ,ࡎࣲ۬௹ଽ֥नࢌO8].H[1ara֥൧ӆັܴࢲܒࡌඪ,ࠧᄝݓ൧ӆၞਈaࣲ௹ଽन൬ၭੱބࣲ௹ൈׄԩ֥ӻҝਈᇏࡎ۬э֥ऊোྟ҂൞ႮႿੀྟࢌၞᄯӮିؓࡎ۬э߄֥ૡ؇ऎႵޓݺ֥ࢳି৯,ऎ,֥ط൞ྍྐ༏ቔႨ֥ࢲݔ.ࠧ֒భ֥൧ӆྐ༏߶Ⴕڵཟ႕ཙି৯,ఏᇶေቔႨ֥൞ࢌၞਈބ൬႕ཙໃটࢌၞ֥ؿᅚ൝.ၭੱ.ႄೆᆃུັܴࢲܒэਈު֥ଆ֥LOGLᆴ4)ঔᅚACDଆбჰٿо֥ACDଆбٿо֥ଆႵิۚ,ᄝัԢਙሱཌྷܱٚ૫ކି৯۷ݺ.Ч໓࣮ؓં൞ࢌၞߎ൞ࡓܵ֩іགྷ۷ݺ.ٚ૫ऎႵࠞఃᇗေ֥ၩၬ.Ֆࡓܵᆀ࢘؇ԛؿ,ؓࡎࣲ۬௹֥࣮,ॖၛࡓܵᆀ০Ⴈࣲ௹หᆘ3 ࢲඏეটႄ֝ބ॥ᇅ൧ӆ֥ࢌၞ౦ঃ,ູࡓܵᆀ֥ᆟҦᇅקิ܂၂ק၇ऌ,՜ࣉ൧ӆࡲूႵ֥ؿᅚ.ႨඹᇕACDଆކࡎࣲ۬௹,ఃᇏҗҵ֥ൈ,ؓႿࢌၞᆀ,Ⴍః൞ࠏܒሧᆀ,္Ⴕᆷ֝ၩٳ҃ࡌഡٳљູᆷඔٳ҃aຯ҃غٳ҃aܼၬኸઔၬ,ࢌၞᆀॖၛ০ႨACDଆყҩࡎ۬э߄ؿളٳ҃ބ҃غٳ҃ඹᇕ౦ঃ.๙ݖဒଆ֥ྟି֥ੱࠇ఼؇,Ֆط࿊ᄴކ֥ሧൈࡗࣉೆ൧,ٳ༅ൡކݓ௹ࠊ൧ӆ֥ACDଆࠣҗҵ֥ٳӆ,ܿхੀྟڄག.ཋႿඔ.҃ࣉطॉҳݓ௹ࠊ൧ӆࡎࣲ۬௹֥ѯหྟऌჰၹ,Ч໓ᆺႄೆਔ۱൧ӆࢲܒ,ѩၛՎູࠎԤ,ᄝଆᇏࡆೆັܴࢲܒၹሰ,ऌՎၹሰ,ߎႵྸ؟൧ӆັܴࢲܒэਈ္ࣲؓ௹ऎႵٳ༅ࢌၞਈa൬ၭੱބӻҝਈؓࡎࣲ۬௹֥႕ཙ၂ק֥႕ཙ,ೂઙછࡎҵaࢌၞ఼؇a൧ӆധ؇aࢌ.֤ԛၛ༯ࢲંၞੱ֩ᆷѓ,ᄝၛު֥࣮ᇏ,ॖၛเࡆᆃུэ:1ਈࡆၛٳ༅.ਸ਼ຓႮႿթᄝࣲ௹ѯ֥ऊোྟڄ)گᄖ֥ACDଆѩ҂ିཁᇷิۚଆކି৯,҂ACDଆᆭࡗҵၳ҂նག,෮ၛᄝؓሧӁࣉྛקࡎݖӱᇏႋھॉ੮ؓھ.2ڄག֥Ҁӊ໙,ีᆃ္൞ሧӁקࡎં֥၂۱)ٳ֥҃ࡌഡؓଆ֥ൡႨྟޓᇗေ,җҵڛՖ҂ٳ҃ᆭࡗ,ҵљޓն.گᄖٳ҃ॖၛิ࣮ۚٚཟ.ҕॉ໓ང:[1]EngleRF,-ditionaldurationmodel[J].JournalofEmpiricalFinance,1997,4:187-212.[2]EngleRF,:Anewmodelforirregularspacedtransactiondata[J].Econo-metrica,1998,66(5):1127-1162.[3][J].Econometrica,2000,68(1):1-22.[4]BauwensL,:lAnapplicationtothebid-askquoteprocessofthreeNYSEstocks[J].AnnalesdeEconomieetdeStatistique,2000,60:117-149.[5]BauwensL,GiotP,[J].InternationalJournalofFore-casting,2000,20:589-609.[6]BauwensL,:introducingpriceinformationinACDmodelswithatwostatetransitionmodel
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ֻ5௹ਾཟৡ֩:ᇏݓ௹ࠊ൧ӆࡎࣲ۬௹ѯऊোหᆘ࣮)81)-tions,:duration;ACDmode;lmicrostructure;clustereffect(ഈࢤֻ50်)[13]WangCJ,[J].ActaAutomaticaSinica,2005,31(4):516-522.[14]WangCJ,:TheSingleMachineCase[C]//The16thIFACWorldConfer-ence,Czech,2005.[15]LuhPB,HoitomtDJ,[J].IEEETransactionsonRo-boticsandAutomation,1990,6(6):687-696.[16]KutanogluE,[J].IIETransactions,1999,31(9):-jun,JIAYong-ji,XUQi,WANGXiao-fengGloriousSunSchoolofBusinessandManagemen,tDonghuaUniversity,Shanghai200051,ChinaAbstract:Considertheproblemofschedulingselfishtasks(oragents)),anarchisticcompetitionwithoutmechanismorglobalcoordina-torwoulddeterioratetheglobalperformance,andthen,,-archyinthedifferentsituations(-pletiontimeorminimizationofmakespan;.):priceofanarchy;scheduling;sequencingmode;lgametheory
