限价订单信息含量分布:理论模型及中国市场实证研究

The Information Distribution of Limit Order Market: Theoretical Model and Empirical Study in China

投资者订单决策过程是研究不完全市场信息释放的逻辑起点。订单的信息分布对市场结构设计有重要的作用。构建非对称环境中投资者订单选择策略模型,并利用高频误差修正模型对理论研究结论进行检验。研究发现中国证券市场订单具有递减信息分布。

Order submission strategy is the logistic beginning to research information release in the imperfect market. The distribution of order information is important for market design. This thesis has proposed a model for the investor＇s strategy of order submission in the limit order market. By the high - frequency VECM model with China＇ s data, the result of theoretical model has been supported. The research reveals the descending distribution of information content in limit order .