高频视角下微观交易信息对价格波动的影响

Impact of trade information on price volatility in the perspective of high-frequency data

基于中国股票市场交易持续期的分布形态,构建Weibull分布下的三状态非对称ACD模型刻画价格运动的动态模式,推导出瞬时波动率的计算公式,采用参数自举法模拟出价格的瞬时波动路径,通过脉冲响应分析考察由特定交易变量构成的脉冲交易对价格波动的冲击模式.结果表明交易持续期是影响价格瞬时波动变化的重要因素,脉冲交易引起的瞬时波动跃动的衰减速度较快,反映出市场投资者对交易信息具有短期的过度反应现象.

Based on the distribution pattern of trade duration in Chinese stock markets, the paper constructs a three-state asymmetric ACD model under the Weibull distribution to depict the price dynamics, induces the formula of instantaneous volatility, then uses parametric bootstraps method to simulate the path of instantaneous volatility, so as to investigate the impact of impulsive trades composed of specific trade variables on price volatility. The results show that trade duration is an important factor affecting the change of price instantaneous volatility, and the bounce of instantaneous volatility caused by the process that micro-trade information melts into price decays quickly, which reflect the investors have short-term overreaction on the trade information.