The intraday periodicity in the returns volatility in China stock markets is shown to have a strong impact on the dynaminc properties of high frequency returns, the periodic modelling procedure developed in this paper...The intraday periodicity in the returns volatility in China stock markets is shown to have a strong impact on the dynaminc properties of high frequency returns, the periodic modelling procedure developed in this paper provides a framework and gives some extended volatility models with market microstructure features for us to comprehend the high frequency volatility clustering phenomena.We find some interesting results such as W\|shaped trading process partern in a trading day,and information effects are also empirically relevant,we offer some explanations.展开更多
In this paper, we develop a theoretical model to describe the dynamics of the trading volume under continuous double auction mechanism in limit order markets. We examine the formation process and statistical properti...In this paper, we develop a theoretical model to describe the dynamics of the trading volume under continuous double auction mechanism in limit order markets. We examine the formation process and statistical properties （including the mean, wriance, and realized value） of the buy side cumulative trading volume, sell side cumulative trading volume and total cumulative volume under continuous double auction mechanism by means of mathematical modeling based on Poisson process of order flows, and do some corresponding numerical simulations and comparative statics on the factors that would influence these three volumes aforementioned. The results indicate that these three volumes are all influenced by the factors including the arrival rate of orders, demands of each order, proportional structure between buy and sell orders, executed probability and time interval we examined. And our established theoretical model can well capture the dynamics of these three volumes under continuous double auction mechanism in limit order markets when all these factors interact.展开更多
This paper analyzes order aggressiveness in Shanghai stock market of China which is a pure order driven market. We provide empirical evidence that the mean order aggressiveness is negative （low） and most traders are...This paper analyzes order aggressiveness in Shanghai stock market of China which is a pure order driven market. We provide empirical evidence that the mean order aggressiveness is negative （low） and most traders are liquidity providers. Our results also show that high order aggressiveness accompanied with high market volatility and large trade volume. The intraday order aggressiveness pattern is from low to high. Four factors： spread, volatility, order imbalance and size affect order aggressiveness, but they affect the buy and sell side differently.展开更多
文摘The intraday periodicity in the returns volatility in China stock markets is shown to have a strong impact on the dynaminc properties of high frequency returns, the periodic modelling procedure developed in this paper provides a framework and gives some extended volatility models with market microstructure features for us to comprehend the high frequency volatility clustering phenomena.We find some interesting results such as W\|shaped trading process partern in a trading day,and information effects are also empirically relevant,we offer some explanations.
文摘In this paper, we develop a theoretical model to describe the dynamics of the trading volume under continuous double auction mechanism in limit order markets. We examine the formation process and statistical properties （including the mean, wriance, and realized value） of the buy side cumulative trading volume, sell side cumulative trading volume and total cumulative volume under continuous double auction mechanism by means of mathematical modeling based on Poisson process of order flows, and do some corresponding numerical simulations and comparative statics on the factors that would influence these three volumes aforementioned. The results indicate that these three volumes are all influenced by the factors including the arrival rate of orders, demands of each order, proportional structure between buy and sell orders, executed probability and time interval we examined. And our established theoretical model can well capture the dynamics of these three volumes under continuous double auction mechanism in limit order markets when all these factors interact.
基金This project is supported by National Natural Science Foundation of China （70401008） and Shanghai Planning 0ffice of Philosophy and Social Science
文摘This paper analyzes order aggressiveness in Shanghai stock market of China which is a pure order driven market. We provide empirical evidence that the mean order aggressiveness is negative （low） and most traders are liquidity providers. Our results also show that high order aggressiveness accompanied with high market volatility and large trade volume. The intraday order aggressiveness pattern is from low to high. Four factors： spread, volatility, order imbalance and size affect order aggressiveness, but they affect the buy and sell side differently.
