Abstract: In this paper, the high-frequency continuously rising and falling return is defined from tick-by-tick return, and the marginal distributions and correlated character of above defined returns are analyzed. In order to analyze the financial risk of continuously rising (falling) return given continuously falling (rising) return, the continuously rising and falling return are paired first to obtain two joint series, and the dependence structure are analyzed by Copula method. The conditional Value at Risk is calculated from the estimated joint distribution. At last, an empirical analysis of two stocks called BAC and JPM from American Stock markets is presented, and the asymmetric property and leverage effect of rising and falling are also verified from the angle of CVaR.

Key words: tick-by-tick data, continuously rising (falling) return, copula, conditional VaR