内生流动性风险及其控制策略研究评述

Review of the Research of Endogenous Liquidit Risk and Its Corresponding Control Strategy

在给出了内生流动性风险内涵的基础上,针对近年来证券市场异常现象的不断出现,指出研究内生流动性风险及其控制策略的重要意义。分别从最优指令递交策略和最优交易执行策略两方面介绍了内生流动性风险及其控制策略研究的现状。最后,指出了内生流动性风险控制策略研究存在的诸多问题及需要进一步深入思考的研究方向,以期未来对相关问题做进一步深入研究。

According to the frequent abnormal phenomena occurring in securities market recently, this paper first emphasizes the importance of researches in endogenous liquidity risk and its corresponding control strategy based on the concept of endogenous liquidity risk. Then a review is provided on current researches from the aspects of optimal order-submission strategy and optimal transaction-execution strategy respectively. Finally problems are pointed out in researches on control strategy of endogenous liquidity risk and future directions are given for successful research on related problems.