以金融超高数据中的重要指标成交量为研究对象,借鉴ACD模型的建模思路,以价格变化一个单位的交易期内累计成交量为标记点,建立基于价格交易持续期的累计成交量模型——ACV模型,运用国内股票市场超高频数据对这一模型进行实证分析,结果表明模型显著,累计成交量的期望受上一期期望的影响远远大于上一期累计成交量的影响,且累计成交量具有明显的聚类效应. Taking the volume of the important index in the financial high data as the research object and drawing lessons from the modeling approach of the ACD model, taking the cumulative volume of one unit of the price change as the marked point, a cumulative trading volume model based on the price transaction duration --ACV model, using the domestic stock market UHF data empirical analysis of this model, the results show that the model is significant, the cumulative volume of the expectations of the impact of the previous period is much larger than the previous period, the cumulative volume of the impact, And the cumulative volume has obvious clustering effect.