The Nonparametric Additive ACD Model and the Application in the Stock Market of China

摘要

We have proposed the nonparametric additive ACD model and carried on the demonstration analysis based on the simulation sample and the China Stock market's price duration sample to the model in the paper. The function form of the conditional expectation and the distribution form of the stochastic error term of the nonparametric additive ACD model have fewer limits than the parametric ACD model. So the model will not make wrong conclusion because of the wrong model form hypothesis just like parametric ACD model. This point may obtain the confirmation in our demonstration analysis. Compared with the parametric ACD model, the nonparametric additive ACD model is more nimble.