限价指令簿与指令驱动市场研究述评

发布时间：2018-10-18 15:59

【摘要】：近年来关于限价指令簿和指令驱动市场的研究成为理论界与实务界共同关注的一个问题。由于在指令驱动市场中投资者的行动空间、状态空间以及决策时点的维度都大大增加,研究难度也大大提高,该领域的研究在国外尚处于起步阶段,在国内则几近空白。早期的静态均衡模型研究的重点主要在于描绘加总的LOB形状,以及不同市场机制的比较。近年来很多学者将外生决定的指令选择这一假设修改为内生决定的指令选择,从而将LOB的理论研究从静态均衡模型推向了动态均衡模型。LOB的实证研究则主要包括指令簿和指令流的特征分析、指令的激进性、指令的不平衡、指令簿的信息内涵以及指令簿透明度与市场质量等方面。但相对于指令驱动市场目前在全球证券交易中所占的绝对重要地位而言,关于指令簿和指令驱动市场的研究仍处于起步阶段,有待于进一步深入拓展。
[Abstract]:In recent years, the research on price limit order book and instruction driven market has become a common concern of theoretical and practical circles. Since the dimensions of investor's action space, state space and decision time point are greatly increased, the research in this field is still in the initial stage in foreign countries, and is almost blank in China. The emphasis of the early static equilibrium model is to describe the total LOB shape and compare the different market mechanisms. In recent years, many scholars have changed the hypothesis of instruction selection from exogenous decision to that of endogenous decision. From static equilibrium model to dynamic equilibrium model, the empirical research of LOB mainly includes the characteristic analysis of instruction book and instruction flow, the radicality of instruction, the imbalance of instruction. The information connotation of instruction book and the transparency and market quality of instruction book. However, the research on instruction book and instruction driven market is still in its infancy, which needs to be further developed.
【作者单位】：厦门大学金融系;
【基金】：国家自然科学基金项目“非完美信息下基于观点偏差调整的资产定价”(70971114) 教育部人文社会科学研究青年基金项目“限价指令簿、投资者交易行为及市场质量”(11YJC790014)
【分类号】：F831.5

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