无做市商情况下的开放式集合竞价研究

Analysis of the open call auction without market maker

通过建立无做市商情况下的可撤销订单且随机结束的开放式集合竞价模型来分析开放式集合竞价中的价格操纵问题,分别得到了竞争性交易者和价格操纵者的均衡交易策略以及可能存在的操纵行为.研究结果表明,在无做市商情况下,可撤销订单且随机结束的机制不能防止价格操纵的行为,但是随着虚拟交易的进行,价格被操纵的程度和可能性越来越小.总体来看,无做市商情况下的可撤销订单且随机结束模式的开放式集合竞价虽然不能完全消除价格操纵行为,但可以最大限度地抑制价格操纵,优于存在做市商的情况.

This paper establishes an open call auction model with order cancellation and random end without market maker to analyze the price manipulation, and obtains the equilibrium trading strategies of competitive trader and price manipulators as well as the possible manipulation behaviour. The results show that under no market maker, the mechanism of order cancellation and random end can not eliminate the price manipulation. However, with the increase of virtual transactions, both the degree and the possibility of price manipulation will become smaller. Overall, the open call auction with order cancellation and random end without market maker may not completely eliminate price manipulation, but it can restrain the price manipulation largely, which means it is better than the situation with market maker.