在金融高频数据中,价格久期反映了投资者的交易行为,从时间维度反映了信息的传导过程。本文采用股票交易的分笔数据,在自回归条件持续期间模型中引入微观结构变量:交易密度、每笔平均交易量和百分比买卖价差,分析价格持续期与市场交易之间的关系,进而得出投资者交易行为相关结论。 In the financial high-frequency data, the price duration reflects the investor’s trading behavior, which reflects the transmission of information from the time dimension. In this paper, we use the data of stock transactions to introduce the microstructure variables into the model of the duration of autoregressive conditions: transaction density, average transaction volume and percentage spread, and analyze the relationship between price duration and market transaction, Investor transaction related conclusions.