The measure of market liquidity is very important for the risk manager and institutional traders conducting high volume trades in the stock market.This paper used the new statistic tool,VENT,which directly measures the depth of the market corresponding to a particular price deterioration,to make a short time dynamic ACD model which measuring the relation about the liquidity change of three stocks in the stock market.
This paper uses a new statistical model (ACD\|GARCH) to analysis the high\|frequency data which arrive at irregular intervals in China stock market.We use the ACD\|GARCH model to analysis the relation among the transactions duration and the returns and variances for the index of Shanghai and Shenzhen stock market.
