基于限价指令簿信息的流动性冲击影响
发布时间：2018-09-14 13:36
【摘要】：确定订单流对市场价格的冲击影响,是研究指令驱动市场效率的重要方面,也是投资者完成交易和制定最优变现策略时必须首先考虑的问题。本文以中国指令驱动机制下的债券市场数据为研究样本,对限价指令簿中各类型订单的流动性冲击进行了建模分析。实证结果显示,所有公开的五级买卖报价的深度水平都对最优买卖报价及未来的价格走势有着显著的影响。各种类型订单的提交都会在较短的时间内对债券价格产生一定的冲击,不过冲击效果则因订单类型的不同而有较大差异。其中,限价买卖订单对债券价格的影响比较复杂,主要受"竞争性原因"和"预期性原因"这两个反向冲击因素的影响。
[Abstract]:To determine the impact of order flow on market price is an important aspect of order driven market efficiency. It is also an important issue for investors to consider when they complete the transaction and formulate the optimal liquidity strategy. Based on the bond market data of China's order driven mechanism, this paper models and analyzes the liquidity impact of various types of orders in the limit order book. The empirical results show that the level of depth of all open five-level trading quotes has a significant impact on the optimal trading price and the future price trend. The submission of various types of orders will have a certain impact on bond prices in a relatively short period of time, but the impact effect varies greatly with different order types. Among them, the influence of price limit order on bond price is complex, which is mainly influenced by two reverse impact factors: "competitive cause" and "expected reason".
【作者单位】： 天津大学管理与经济学部;
【基金】：国家自然科学基金资质项目(71171144;71471129) 高等学校博士学科点专项科研基金资助项目(20130032110016)
【分类号】：F832.51
本文编号：2242855
[Abstract]:To determine the impact of order flow on market price is an important aspect of order driven market efficiency. It is also an important issue for investors to consider when they complete the transaction and formulate the optimal liquidity strategy. Based on the bond market data of China's order driven mechanism, this paper models and analyzes the liquidity impact of various types of orders in the limit order book. The empirical results show that the level of depth of all open five-level trading quotes has a significant impact on the optimal trading price and the future price trend. The submission of various types of orders will have a certain impact on bond prices in a relatively short period of time, but the impact effect varies greatly with different order types. Among them, the influence of price limit order on bond price is complex, which is mainly influenced by two reverse impact factors: "competitive cause" and "expected reason".
【作者单位】： 天津大学管理与经济学部;
【基金】：国家自然科学基金资质项目(71171144;71471129) 高等学校博士学科点专项科研基金资助项目(20130032110016)
【分类号】：F832.51
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