行情公告牌的信息含量与交易者行为偏好——来自电子限价委托交易系统的证据

The Information in Order Book and Investor's Preference

与以往分析会计信息和基本面信息不同,本文对行情公告牌提供的信息进行了研究。笔者将信息分为存量信息、流量信息和交易持续期(duration),对这些信息之间动态的互动情况进行了分析并对信息如何影响交易者的行为进行了实证检验。笔者研究发现行情公告牌具有信息含量并且影响着交易者的行为偏好。在交易中,交易者表现出“对角线效应”,以及出现了交易持续期的“聚类现象”。

A main finding of the paper is the importance and superiority of information embodied in continuous individual traders＇ actions in characterizing order submission behavior. As a centralized, computerized, limited order market, the Shenzhen Stock Exchange（SSE） in China is particularly appropriate for studying the interaction between the order book and order flow. We use descriptive methods to capture the richness of the data and distinctive aspects of the market structure. Order flow is concentrated near the quote, while the depth of the book is somewhat smaller at nearly valuations. We also analyze the supply and demand of liquidity. For example, thin books elicit orders and thick books results in trades. To gain price and time priority, investors quickly place orders within the quotes when the depth at the quotes or the spread is large. Consistent with information effects, downward （upward） shifts in beth bid and ask quotes occur after large sales （purchases）.