基于经典PIN模型的股票信息风险测度研究

Measuring Information Risk of Stocks Based on Classical PIN Model

准确测度股票信息风险对资产定价、风险管理以及市场绩效的衡量有着重要意义。针对直接测度信息风险的经典PIN模型,首先推导出经典PIN模型隐含的买卖指令的均值、方差以及买卖指令之间的相关性,发现经典PIN模型隐含的买卖指令之间的相关性总是为负;然后基于中国股票的逐笔交易数据进行实证研究,发现经典PIN模型隐含的买卖指令之间的负相关性与实际数据中买卖指令之间的正相关性并不相符;此外,经典PIN模型隐含的买卖指令的方差与实际数据中买卖指令相对较大的方差也不能很好地匹配。研究结果表明经典PIN模型并不能准确测度股票信息风险。

Measuring information risk of stocks accurately has important significance on asset pricing,risk management and measuring the market performance.Pointing to the classical PIN model used to directly measure information risk of stocks,this paper firstly derived the mean,variance of buy and sell orders and the correlation between buy and sell orders implied in the classical PIN model,and found that the correlation between buy and sell orders implied in the PIN model is always negative.Then,the empirical study,based on the trading data tick by tick of Chinese stocks,finds that the negative correlation between buy and sell orders implied in the PIN model is not accordant with the positive correlation between buy and sell orders in real data;furthermore,the variance of buy and sell orders implied in the PIN model can′t match the larger variance of buy and sell orders in real data either.The results indicate that the PIN model can′t accurately measure information risk of stocks.