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《Systems Engineering》 2005-03
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Review of Empirical Research on Financial Market Microstructure Based on High-frequency Data

ZENG Yong,WANG Zhi-gang,LI Ping (School of Management, UESTC, Chengdu 610054,China)  
Based on high-frequency data an introduction to the empirical research on the financial market microstructure such as volatility,market efficiency and liquidity and some suspicion about some traditional economical hypotheses and theory framework caused by this empirical research is presented in this paper, and a brief comment about this area is also given. Finally, we present some forward empirical research directions on China stock market microstructure.
【Fund】： 教育部优秀青年教师资助计划项目(教人司[2003]355号)
【CateGory Index】： F830.91
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【Citations】
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【Co-citations】
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【Co-references】
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