Price limits in product market have been discarded in classic microeconomics. However, price limits affect the trade behavior of the same agent, since agents in the stock market change their trade status frequently. D...Price limits in product market have been discarded in classic microeconomics. However, price limits affect the trade behavior of the same agent, since agents in the stock market change their trade status frequently. Due to the controversy on the institution effectiveness of the price limits in stock market, this paper design an experimental market with two stocks with continuous bid, in which we investigate the impact of the price limits on the stock market. The results show that the price limits moderate the price volatility within and between the trades periods, thus can stabilize stock price. In addition, price limits, when measured by traditional approach, restrain the fluidity of the market, reduce the volatility of transaction shares and maintain durative of fluidity. While volatility-based fluidity measurements show that the fluidity is enhanced significantly in stock market with price limits.展开更多
Price volatility in stock market brings potential profile positions to the traders. How to predict the direction of the stock market or stock price becomes the primary job for traders＇ trading model. We are looking f...Price volatility in stock market brings potential profile positions to the traders. How to predict the direction of the stock market or stock price becomes the primary job for traders＇ trading model. We are looking for the direction of the market in a given timeframe. High-frequency traders will consider the potential profile-out position in millisecond level. Long-term holder will look into month time scale. For most of average traders, the ideal timeframe will be on daily base. In this paper, for a non-news trading day, the author will introduce statistics method to predict the stock prices and bid-ask spread for day trading.展开更多
基金Acknowledgements： This research is supported in part by National Nature Science Foundation of China （No. 70672029 and 70532001）, project of key base for studies of social science of Ministry of Education of China （No. 05JJD630023）, Social Science Foundation of Tianjin （No. TJ05-GL004）, base for innovation of Philosophy and Social Science 985 Project-＂Management and institution innovation of Corporate in China＂ item.
文摘Price limits in product market have been discarded in classic microeconomics. However, price limits affect the trade behavior of the same agent, since agents in the stock market change their trade status frequently. Due to the controversy on the institution effectiveness of the price limits in stock market, this paper design an experimental market with two stocks with continuous bid, in which we investigate the impact of the price limits on the stock market. The results show that the price limits moderate the price volatility within and between the trades periods, thus can stabilize stock price. In addition, price limits, when measured by traditional approach, restrain the fluidity of the market, reduce the volatility of transaction shares and maintain durative of fluidity. While volatility-based fluidity measurements show that the fluidity is enhanced significantly in stock market with price limits.
文摘Price volatility in stock market brings potential profile positions to the traders. How to predict the direction of the stock market or stock price becomes the primary job for traders＇ trading model. We are looking for the direction of the market in a given timeframe. High-frequency traders will consider the potential profile-out position in millisecond level. Long-term holder will look into month time scale. For most of average traders, the ideal timeframe will be on daily base. In this paper, for a non-news trading day, the author will introduce statistics method to predict the stock prices and bid-ask spread for day trading.
