期刊文献+
任意字段
题名或关键词
题名
关键词
文摘
作者
第一作者
机构
刊名
分类号
参考文献
作者简介
基金资助
栏目信息

证券市场高频交易与流动性监管 被引量：8

High-frequency Trading in Securities Market and Liquidity Supervision
下载PDF
导出
摘要 本文首先回顾了美国证券市场高频交易的历史,之后对高频环境下流动性水平的新定义进行了详细的论述,最后讨论了在高频交易环境下,如何对流动性进行市场监管。 By examining the history of high-frequency trading in the U.S.stock market,the thesis elaborates on the new definition of liquidity under the circumstance of high-frequency.In conclusion,it discusses the regulation of market liquidity.
作者 徐信喆 杨朝军
机构地区 上海交通大学安泰经济与管理学院
出处 《上海金融》 CSSCI 北大核心 2013年第8期70-74,118,共5页 Shanghai Finance
关键词 高频交易 流动性水平 流动性黑洞 市场监管 High-frequency Trading Level of Liquidity Liquidity Black Holes Market Regulation
分类号 F830.91 [经济管理—金融学]
  • 相关文献

参考文献24

  • 1t-Sahalia, Y. and J. Yu (2009). "High frequency market microstructure noise estimates and liquidity measures." The Annals of Applied Statistics: 422-457.
  • 2Amihud, Y. (2002). "Illiquidity and stock re- turns: cross-section and time-series effects." Journal of Financial Markets 5(1): 31-56.
  • 3Avellaneda, M. and S. Stoikov (2008). "High- frequency trading in a limit order book." Quantitative Finance 8(3): 217-224.
  • 4Biais, B., T. Foucault, et al. (2012). "Equilibri- um high -frequency trading." Available at SSRN 2024360.
  • 5Biais, B., P. Hillion, et al. (1995). "An empirical analysis of the limit order book and the order flow in the Paris Bourse." The Journal of Finance 50(5): 1655-1689.
  • 6Biais, B. and P.-O. Weill (2009). Liquidity shocks and order book dynamics, National Bureau of E- conomic Research.
  • 7Brogaard, J. (2010). "High frequency trading and its impact on market quality." Northwestern University Kellogg School of Management Working Paper.
  • 8Chakravarty, S., J. Upson, et al. (2010). "The flash crash: Trading aggressiveness, liquidity supply, and the impact of intermarket sweep orders." University of Texas at E1 Paso, E1 Paso, TX, working paper.
  • 9Christie, W. G., J. H. Harris, et al. (1994). "Why Did NASDAQ Market Makers Stop Avoiding Odd - Eighth Quotes?" The Journal of Finance 49(5): 1841-1860.
  • 10Christie, W. G. and P. H. Schultz (1994). "Why do NASDAQ Market Makers Avoid Odd - Eighth Quotes?" The Journal of Finance 49(5): 1813-1840.

同被引文献100

引证文献8

上海金融
2013年 第8期

相关作者

内容加载中请稍等...

相关机构

内容加载中请稍等...

相关主题

内容加载中请稍等...

浏览历史

内容加载中请稍等...
;
使用帮助 返回顶部