Study on the Price Duration Features and Determinants of China's Fuel Oil Futures Market Based on MicrostructureTheory

By using LOG-ACD model, this paper studies the price duration features of Chinese fuel oil futures market, and put especial emphasis on several microstructure variables which may have significant impact on the price duration, such as the state of price changes, trading volume and open interest volume. The research results indicate that the sampling frequency of 4 minutes is optimum for the fuel oil futures high frequency data; the price duration has obvious intraday effect and shows “M” mode; the Weibull distribution can be considered as a relatively suitable assumption for LOG-ACD model; price duration has remarkable persistence and clustering characteristics, and furthermore, the probability of the occurrence of long duration increases steadily; the rise or fall in price has different impact on price duration; the trading volume and open interest volume can be regarded as crucial factors when the price duration fluctuation is analyzed.