微观金融市场中逆向选择成本的估计模型

The models of adverse selection components measure in the market microstructure

微观金融市场中的买入—卖出差价可以分割为定单处理成本、存贷控制成本和逆向选择成本(信息不对称成本)三种成本因素,其中比较引人注目的是对逆向选择成本进行估计的模型。流行的五种估计逆向选择成本的模型分别是G·Losten＆Harris模型,George,Kaul＆Nimalendran模型,Lin,Sanger＆Booth模型,Modhavan,Richardson＆Roomans模型,Huang＆stoll模型。这五种逆向选择成本的估计模型是估计微观金融市场中逆向选择成本因素的主要模型,并且成为引用率最高的几种逆向选择成本估计模型。但针对这些模型有效性的争议仍然存在。

The bid-ask spread in the market microstructure could be divided into order processing cost, inventory holding cost and adverse selection cost (asymmetric information cost). In this paper, we emphasize particularly on the models of adverse selection components measures in the market microstructure, such as Glosten&Harris model, George, Kaul&Nim alendran model, Lin, Sanger&Booth model, Madhavan, Richardson&Roomans model and Huang&Stoll model.These models are the main models on the models of adverse selection components measures in the market microstructure and,have the highest rate in quotation.But the controversy on the effect is going on.