The paper studies the modeling of ultra-high-frequency time series, then through constructing the ACD model and UHF-GARCH model of index and single stock data in Shanghai Stock Market, the chapter researches its market microstructure.

• 主要研究了超高频时间序列的建模问题,通过对上海股市的指数和个股的超高频时间序列建立 ACD 模型和 UHF-GARCH 模型,研究了上海股市的微观结构;