关键词: 超高频数据, 微观结构, 持续性, 多空策略

Abstract: The persistence of extreme stock prices with respect to its volumes of Chinas stock market was investigated through ultra-high frequency data. Studies show that, Chinas stock prices exhibit a weak reversion within a certain range of post volume after extreme prices appear, which is different from the full reversion of the Western stock markets. A new research method and an investment strategy adapting to Chinas stock market were proposed. Empirical research gave the single return and accumulated return of the strategy, as well as the optimal values of parameters and the inter frequency distributions of extreme prices.

Key words: ultra-high frequency data, microstructure, persistence, long-short strategy