本文实证研究了我国证券市场知情与非知情交易者的市场到达率及其影响因素.首先选取2003.7.1至2003.10.31上海证券市场高频分笔交易数据,运用EKOP(Easley,Kiefer,O'Hara and Paperman,1996)模型假设对我国上海股票交易所知情交易者...本文实证研究了我国证券市场知情与非知情交易者的市场到达率及其影响因素.首先选取2003.7.1至2003.10.31上海证券市场高频分笔交易数据,运用EKOP(Easley,Kiefer,O'Hara and Paperman,1996)模型假设对我国上海股票交易所知情交易者与非知情交易者的到达率(交易强度)进行了度量;其次研究了股票收益、市场收益、隔夜收益、买(卖)方成交量、相对价差、供给(需求)弹性等市场特征对交易者到达率的影响.实证结果表明:非知情交易者的到达率主要受股票收益、买(卖)交易量、相对价差和供给(需求)弹性的影响;除相对价差对非知情者有负向影响外,其余各项对非知情交易者均是正向影响.知情交易者的到达率受市场收益、隔夜收益、买(卖)交易量、相对价差以及供给(需求)弹性影响.此外,对应不同换手率股票,交易者到达率受市场特征的影响也不相同.本文研究认为,知情者较非知情者的收益优势,不仅因为其拥有私有信息还因为知情者观察了较全面的公共信息.展开更多
This paper presents a model to describe the dynamic trading process in limit order book.By studying the dynamic pattern of execution probabilities of limit orders with both time and the depth of limit order book,the a...This paper presents a model to describe the dynamic trading process in limit order book.By studying the dynamic pattern of execution probabilities of limit orders with both time and the depth of limit order book,the authors conclude with the following properties:Arrival rates of market buy orders increase as the depth of buy queue in the book increases and decrease as the depth of sell queue increases,and vice versa;similar regularities for the arrival rate of market sell orders;both the arrival rate of market buy order and market sell orders increase as the depth of both sides in the book increases by the same amount.Furthermore,the authors describe more detailed temporary and permanent effects of the market depth on the arrival rates of orders.展开更多
文摘本文实证研究了我国证券市场知情与非知情交易者的市场到达率及其影响因素.首先选取2003.7.1至2003.10.31上海证券市场高频分笔交易数据,运用EKOP(Easley,Kiefer,O'Hara and Paperman,1996)模型假设对我国上海股票交易所知情交易者与非知情交易者的到达率(交易强度)进行了度量;其次研究了股票收益、市场收益、隔夜收益、买(卖)方成交量、相对价差、供给(需求)弹性等市场特征对交易者到达率的影响.实证结果表明:非知情交易者的到达率主要受股票收益、买(卖)交易量、相对价差和供给(需求)弹性的影响;除相对价差对非知情者有负向影响外,其余各项对非知情交易者均是正向影响.知情交易者的到达率受市场收益、隔夜收益、买(卖)交易量、相对价差以及供给(需求)弹性影响.此外,对应不同换手率股票,交易者到达率受市场特征的影响也不相同.本文研究认为,知情者较非知情者的收益优势,不仅因为其拥有私有信息还因为知情者观察了较全面的公共信息.
基金supported by the National Natural Science Foundation of China under Grant Nos.71371024,71371023Fundamental Research Funds for the Central Universities under Grant No.ZZ1319
文摘This paper presents a model to describe the dynamic trading process in limit order book.By studying the dynamic pattern of execution probabilities of limit orders with both time and the depth of limit order book,the authors conclude with the following properties:Arrival rates of market buy orders increase as the depth of buy queue in the book increases and decrease as the depth of sell queue increases,and vice versa;similar regularities for the arrival rate of market sell orders;both the arrival rate of market buy order and market sell orders increase as the depth of both sides in the book increases by the same amount.Furthermore,the authors describe more detailed temporary and permanent effects of the market depth on the arrival rates of orders.
