指令驱动市场的价格形成机制

Pricing Mechanism of Order-Driven Market

针对指令驱动市场建立了理性预期的模型,首先说明了交易者的最优指令决定于他对股票价值的估计和股票的即时价格;然后说明了在这样的指令提交方式下,私有信息如何通过交易者提交的指令反应到市场价格中;最后,说明知情交易者如何利用市场深度的限制隐藏其私有信息。

We model the order-driven market based on rational expect framework.In this model,the optimal order submission depends on the price of immediacy and the trader's valuation for the stock.Then,the price of immediacy will present trader's private information.And lastly,the model shows how informed trader hide their private information by making use of depth.