摘要
采用上海股票市场的数据,通过有序概率单位分析模型对机构投资者指令提交策略的影响因素进行事前分析。结果表明:对于买方投资者来说,指令的进取性与买方深度成正相关,与卖方深度成负相关;对于卖方投资者来说,指令的进取性与卖方深度成正相关,与买方深度成负相关。此外,买卖价差和波动性与指令的进取性成负相关关系。
This paper studies the factors of order submission strategies of institutional investors using order data for a sample of stock in the Shanghai stock exchange(SSE). Our results show that a thicker book on the buy(sell) side strengthens the order aggressiveness of the institutional buyers(sellers). The wider is the spread and the higher is the volatility, the weaker is the order aggressiveness.
出处
《系统工程理论方法应用》
2004年第3期226-228,233,共4页
Systems Engineering Theory·Methodology·Applications
关键词
限价指令薄
限价指令
指令进取性
深度
limit order book
limit orders
order aggressiveness
depth
