The application of Autoregressive Conditional Intensity model to Shanghai stock exchange

A lot of previous researchers used duration models to analyze ultra-high frequency financial data from Chinese stock market. The likelihood function of those models sometimes are hard to obtain. In fact if we turned to point process theory, the likelihood functions and intensity functions of those counting processes are intuitive simple. And the statistic inferences can be carried out easily. However those models were ignored by Chinese researchers. In this paper, we use Autoregressive Conditional Intensity(ACI) model to analyze two big cap stocks from Shanghai stock market. The empirical results supported the correctness of this model.