撤单指令与市场信息

Cancellation orders and market information

撤单行为发生于价格形成之前 ,包含有许多独特的信息含量 .以撤单指令为基础构建一种新的、不同于价格的金融市场分析模式 ,这一模式包括纯噪声市场、同质撤单、异质撤单以及毁约指标等模型 .任何信息都存在着市场生命周期 ,毁约指标将其分为信息扩散阶段和信息耗散阶段 。

Based on cancellation orders, a financial analysis different from price analysis was established. The analysis included the single cancellation order probability of pure noise market, homogeneity cancellation, heterogeneity cancellation in real market and repenting index. Any market information had life cycle and could be divided into spreading phase and dissipation phase by repenting index. The phases could give a description of market efficiency.