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知情交易概率和交易活跃程度的日内动态关系 被引量：1

Intraday Features of the Dynamic Relationship between Informed Trading Probability and Trading Activity
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摘要 利用超高频数据基于不规则时间序列对知情交易概率和交易活跃程度进行系统建模,使用H am ilton状态转移方程和混沌优化算法对超高频知情交易概率进行估计,实证检验中国股票市场上交易持续期间、交易量和知情交易概率之间的日内动态关系及其相互影响,重点研究交易活跃程度和信息之间的超高频特性。结果表明在超高频水平上久期和交易量之间呈现负相关关系,并且信息冲击会导致交易更活跃。 This paper presents a framework to model the Informed Trading Probability and trading activity by using the High Frequency Irregularly Spaced Transaction Data. The state-transition equation and chaos optimization algorithm are applied to estimate the High Frequency Informed Trading Probability. We empirically test the intraday dynamic relationship between trade duration, volume and trading activity and their interactions, and find that trade duration and volume are negatively correlated, and the impact of information will lead to more active stock traded.
作者 王春峰 张亚楠 房振明
机构地区 天津大学管理学院
出处 《系统工程》 CSCD 北大核心 2009年第7期7-13,共7页 Systems Engineering
基金 国家杰出青年基金资助项目(70225002)
关键词 超高频数据 不规则时间序列 自回归条件久期 知情交易概率 High Frequency Data Irregularly Spaced Time Series ACD Informed Trading Probability
分类号 F832 [经济管理—金融学]
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参考文献12

  • 1Admati, et al. Atheory of intraday patterns volume and price variability[J]. The Review of Financial Studies, 1988,1 : 3-40.
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二级参考文献42

  • 1Engle R F, Russell J R. Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model[J]. Journal of Empirical Finance, 1997, (4): 187-212.
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  • 10Dufour, Alfonso and Robert F. Engle, 2000a, "The ACD model: Predietibility of the time between consecutive trades," Discussion Paper,University of California, San Diego.

共引文献25

引证文献1

二级引证文献1

系统工程
2009年 第7期

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