Ultrahigh Frequency Data Liquidity Duration Estimation: A Case Study of Chinese A Shares

<table class="table-group" id="tab5"><tr><td><table class="table"><tr><td class="thead-hr" colspan="4"><hr/></td></tr><tr><td align="left">Share</td><td align="center">SH600048</td><td align="center">SH600247</td><td align="center">SH600383</td></tr><tr><td align="center" colspan="4"><hr/></td></tr><tr><td align="left">LB (20)</td><td align="center">989.75</td><td align="center">509.66</td><td align="center">917.75</td></tr><tr class="table-tr"><td colspan="4"><hr class="tbody-hr"/></td></tr></table></td></tr></table>

Ljung-Box statistic of transaction volume duration ACF.

Mathematical Problems in Engineering

tab5

Table 5

Table 5: Ultrahigh Frequency Data Liquidity Duration Estimation: A Case Study of Chinese A Shares 