摘要
通过拍卖模型研究了专家经纪人和限价指令簿,以及限价指令簿和多元做市商混合市场结构,并从流动性需求者的角度将其与当前的限价指令簿市场进行了比较分析.在对称、线性均衡环境下,发现相对限价指令簿市场,流动性需求者(尤其是大额指令需求者)总是偏好于限价指令簿和专家经纪人混合市场.在其他情况下,并不存在总是最优的市场结构,在不同的市场设计和市场状态下,流动性需求者偏好于某一市场.
This paper analyzes two hybrid market structures of the limit_order book and specialist market, and the limit_order book and dealers market by an auction model, and compares these structures from the liquidity demanders view. Under a symmetric, price_continuous and linear equilibrium environment, it is found that, relative to the limit_order book market, the liquidity demanders always prefer to the limit_order book and specialist market, especially for large_size order flow demanders. Apart from that, there exists no optimal market structure at all time. To different market designs and different market status, liquidity demanders prefer to one market among them.
出处
《系统工程学报》
CSCD
2004年第2期128-134,147,共8页
Journal of Systems Engineering
基金
国家自然科学基金重大资助项目(79990580).
