证券市场的噪音估计建模与估计研究

Study of modeling and estimation of security market noise trade

通过将噪音交易者引入交易树扩展经典的EKOP模型,构建了含有7个不同状态的新的交易到达过程模型,然后基于泊松到达理论得到交易到达过程的单期似然函数及多期联合似然函数,从而达到估计证券市场的噪音交易比例的目的.HS300样本股样本期间的估计结果表明,中国股票市场2011年1月–7月平均噪音交易比例达0.243 2,高于知情交易者比例.同时,参数结果分析表明期间噪音交易者情绪偏乐观,市场的信息效率不高.

By introducing the noise trader into the trade tree, this paper develops a new trade arriving model based on EKOP, which has 7 different regimes now. Then this paper deduces the single-period likelihood function and multi-period likelihood function of trade arriving based on Poisson arriving theory, in order to estimate the noise trade proportion of security market. The results of HS300 sample stocks＇ estimation of noise trade show that the noise trade proportion of Chinese security market is 0.243 2, a little higher than the information trade proportion. At the same time, the results of the parameters＇ estimation indicate that noise traders are more optimistic and that the information efficiency is low.