价量分布下的股票流动性深度的度量

Depth Measurement on Stock Liquidity under the Distribution for Price and Quantity

首先分析了市场深度的含义,然后从股票的价量分布角度,分别给出了股票实际成交深度、买方深度和卖方深度的新的度量方法。最后,运用实际成交深度的度量方法,描绘了我国上海股市深度的日内分时特征和日走势图,支持上海股市日内深度也大致呈现M型的观点。

Firstly, market depth connotation is researched, then, this paper proposes a new way of measuring effective (transaction) depth,buyer depth and seller depth from the point of the distribution for stock price and quantity. Finally, by (applying) the measurement method of effective transaction depth, the intra-day temporal character and inter-day feature (figures) on Shanghai market depth are depicted and a pattern of crude 'M' about the intra-day temporal depth is also (supported.)