订单流不平衡对大连商品交易所期货价格影响的实证研究
发布时间：2019-05-08 06:34
【摘要】：期货市场虽然不被普通投资者所熟悉,但随着我国期货市场逐渐成熟,国际市场影响力日渐提高,针对期货市场的微观结构特征值得探究。相比对股市微观结构的丰富研究,我国期货市场微观结构的相关研究尚不充足。现有的金融市场微观结构研究大多基于交易行为所包含的信息展开,从交易信息中构建交易量、交易不平衡等指标,探究其对价格的影响关系。在指令驱动的期货市场中,订单簿作为投资者关注的信息中心,包含着有关投资者信息、风险偏好、行为偏好等重要信息,近年来学者围绕订单簿构建的订单流不平衡指标为量化订单簿信息提供了很好的工具。探究我国期货市场投资者行为的相关特征,实证检验订单流不平衡对价格的影响程度,是本文的核心内容。本研究基于大连商品交易所上市品种的历史Level-2数据,选择交易量最大的铁矿石、豆粕和棕榈油的主力合约作为研究对象。对原始数据进行一系列预处理后,计算交易笔数不平衡、交易量不平衡、交易金额不平衡、订单流不平衡和价格变化等数据,并对各变量分合约分别进行相关分析、自相关分析和平稳性检验,探索期货市场投资者的行为特征。在此基础上,设计交叉对比实验,检验订单流不平衡对价格的影响程度,并在不同的切片粒度和交易量下检验其影响程度的稳健性。研究结果发现,在我国期货市场中合约价格上涨(下降)时卖方(买方)主动发起的交易次数更多,但卖方(买方)主动发起的交易量并没有比买方(卖方)主动发起的交易量更多;投资者在主动发起交易时倾向于跟随其他交易者发起同向交易,跟随发起的交易量并无规律可言;相对应的,投资者在操作限价单的挂单撤单时,更为理性不易受其他投资者交易行为的干扰。此外,验证了订单流不平衡与期货价格变动具有显著的正相关关系,相比交易量不平衡指标,订单流不平衡指标对价格的冲击效应更为显著,模型回归的拟合系数更优。进一步的鲁棒性检验发现,当合约为主力合约、且没有发生全天单边市的情况下,订单流不平衡的价格冲击效应在不同的交易量水平、不同的切片粒度下均有很好的显著性水平和较高的拟合系数。
[Abstract]:Although the futures market is not familiar to ordinary investors, with the maturity of the futures market in China and the increasing influence of the international market, the microstructure characteristics of the futures market are worth exploring. Compared with the rich research on the microstructure of the stock market, the relevant research on the microstructure of the futures market in China is not sufficient. Most of the existing research on the microstructure of financial market is based on the information contained in the transaction behavior. From the transaction information, the index of transaction volume, trade imbalance and so on are constructed to explore the relationship between the influence of the financial market microstructure on the price. In an order-driven futures market, an order book, as an information center for investors, contains important information about investors, risk preferences, behavior preferences, and so on. In recent years, the disequilibrium index of order flow constructed by scholars around order book provides a good tool for quantifying order book information. It is the core content of this paper to explore the relevant characteristics of investors' behavior in futures market of our country, and to test the influence degree of the imbalance of order flow on price. Based on the historical Level-2 data of the listed varieties in Dalian Commodity Exchange, the main contracts of iron ore, soybean meal and palm oil with the largest trading volume were selected as the research object. After a series of pre-processing of the original data, the data, such as the imbalance of the number of transaction pens, the imbalance of transaction volume, the imbalance of transaction amount, the imbalance of order flow and the change of price, are calculated, and the correlation analysis of each variable sub-contract is also carried out. Auto-correlation analysis and stationarity test are used to explore the behavior characteristics of investors in futures market. On this basis, a cross-comparison experiment is designed to test the influence degree of the imbalance of order flow on the price, and the robustness of the influence degree is tested under different slice size and transaction volume. The results show that there are more transactions initiated by the seller (buyer) when the contract price increases (falls) in the futures market of our country. However, the volume of transactions initiated by seller (buyer) is not more than that initiated by buyer (seller); Investors tend to follow other traders to initiate co-directional trading when they actively initiate trading, and follow the initiated trading volume is not regular; In contrast, investors are less likely to be disturbed by the trading behavior of other investors when they withdraw the listing order of the price limit list. In addition, it is verified that there is a significant positive correlation between the order flow imbalance and the futures price change. Compared with the transaction volume imbalance index, the order flow imbalance index has a more significant impact on the price, and the model regression has a better fitting coefficient. Further robustness tests show that when the contract is the main contract and there is no all-day unilateral market, the price shock effect of the unbalanced order flow is at different trading volume levels. Different slice sizes have a good level of significance and a higher fitting coefficient.
【学位授予单位】：哈尔滨工业大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F724.5
本文编号：2471691
[Abstract]:Although the futures market is not familiar to ordinary investors, with the maturity of the futures market in China and the increasing influence of the international market, the microstructure characteristics of the futures market are worth exploring. Compared with the rich research on the microstructure of the stock market, the relevant research on the microstructure of the futures market in China is not sufficient. Most of the existing research on the microstructure of financial market is based on the information contained in the transaction behavior. From the transaction information, the index of transaction volume, trade imbalance and so on are constructed to explore the relationship between the influence of the financial market microstructure on the price. In an order-driven futures market, an order book, as an information center for investors, contains important information about investors, risk preferences, behavior preferences, and so on. In recent years, the disequilibrium index of order flow constructed by scholars around order book provides a good tool for quantifying order book information. It is the core content of this paper to explore the relevant characteristics of investors' behavior in futures market of our country, and to test the influence degree of the imbalance of order flow on price. Based on the historical Level-2 data of the listed varieties in Dalian Commodity Exchange, the main contracts of iron ore, soybean meal and palm oil with the largest trading volume were selected as the research object. After a series of pre-processing of the original data, the data, such as the imbalance of the number of transaction pens, the imbalance of transaction volume, the imbalance of transaction amount, the imbalance of order flow and the change of price, are calculated, and the correlation analysis of each variable sub-contract is also carried out. Auto-correlation analysis and stationarity test are used to explore the behavior characteristics of investors in futures market. On this basis, a cross-comparison experiment is designed to test the influence degree of the imbalance of order flow on the price, and the robustness of the influence degree is tested under different slice size and transaction volume. The results show that there are more transactions initiated by the seller (buyer) when the contract price increases (falls) in the futures market of our country. However, the volume of transactions initiated by seller (buyer) is not more than that initiated by buyer (seller); Investors tend to follow other traders to initiate co-directional trading when they actively initiate trading, and follow the initiated trading volume is not regular; In contrast, investors are less likely to be disturbed by the trading behavior of other investors when they withdraw the listing order of the price limit list. In addition, it is verified that there is a significant positive correlation between the order flow imbalance and the futures price change. Compared with the transaction volume imbalance index, the order flow imbalance index has a more significant impact on the price, and the model regression has a better fitting coefficient. Further robustness tests show that when the contract is the main contract and there is no all-day unilateral market, the price shock effect of the unbalanced order flow is at different trading volume levels. Different slice sizes have a good level of significance and a higher fitting coefficient.
【学位授予单位】：哈尔滨工业大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F724.5
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