摘要
在金融市场中,信息性投资者拥有资产未来价值的私人信息,并将根据其所掌握的信息情况进行交易,且其交易将向市场传递相关信息。信息性交易概率问题可以作为股票交易信息不对称程度的代理变量,以往对其的评估大多基于存在风险中性作市商的报价驱动市场。本文在传统的EKOP信息交易模型基础上发展了适合指令驱动市场的信息模型,考察了不存在做市商报价的中国指令驱动的证券市场信息性交易的概率问题,对市场上知情投资者委托单占日内所有成交委托单的比重问题进行了研究,考察了市场上投资者的行为并给出了衡量日内交易事件信息性交易概率的估计式。
In financial market, informed investors with private information about assets value would like trading according to their own informatlon, and their trading activity will transfer information of assets value to the market. The probability of informed trading can act as the proxy variable of the scale of asymmetric trading information. Most of the previous researches were based on quote driven market with risk-neutrality market makers existing. Based on EKOP model, this article develops a new model fitting for order-driven market. We investigate the probability of informed trading on orderdriven stock market in China, where there is no specialist＇s quoting, that is the ratio of informed traders＇ order to all the intraday investors＇ order, and investigate the market investors＇ behavior, then put forward the corresponding formula of the probability of informed trading.
出处
《系统工程》
CSCD
北大核心
2007年第10期11-15,共5页
Systems Engineering
基金
国家自然科学基金资助项目(70203003)
技术.政策.管理(TPM)国家哲学社会科学创新基地资助项目
关键词
信息性交易概率
知情交易者
限价单
市价单
Probability of Informed Trading
Informed Trader
Limit Order
Market Order
