动态限价指令簿：特征与模型

发布时间：2018-03-22 01:34

本文选题：限价指令簿　切入点：动态建模　出处：《厦门大学》2014年硕士论文　论文类型：学位论文

【摘要】：我国A股市场是典型的指令驱动市场,与传统报价驱动方式不同,投资者可以提交市价单和限价单,这些订单按照“价格优先,时间优先”的原则自动匹配成交,而未成交的限价单累积形成限价指令簿。由于限价指令簿中含有大量偏离最优报价的订单,很多学者认为这些未成交的订单具有一定的信息含量,从限价指令簿中提取的信息能够极大地帮助股价短期预测。除此之外,在具体交易细节中,投资者还面临订单选择的决策问题,这也取决于限价指令簿的状态和变化特征。因此,建立模型来刻画限价指令簿信息显得十分必要,而本文的目的就是试图建立限价指令簿的动态模型。本文建立了动态限价指令簿模型。首先,由于限价指令簿的动态变化是各类订单流累积的表现,在完成限价指令簿静态描述的基础上,本文分析了订单流信息与动态限价指令簿状态变化的联系。根据订单流的特征,本文设定了订单流的具体随机过程,得到了动态限价指令簿的三因素(买卖价差、中间价格和买卖压力)模型。在一定假设下将无限维的指令簿动态过程转换为最优报价与最优买卖量的动态过程。上证50成分股指令簿数据的实证表明,模型很好地还原了市场特征,并且得到了短期内指令簿信息对股价的影响远高于市场外部信息的重要结论。为了分析动态限价指令簿模型是否能够帮助下单决策,我们对比分析了订单执行等待时间的经验分布,以及三因素模型与两因素(不含指令簿信息)模型下的理论分布。实证结果表明,当市场初始状态为卖方压力时,加入指令簿信息能够帮助我们更好估计限价卖单不被执行的风险；而市场为买方压力时,加入指令簿信息却放大了估计误差。本文认为这是因为买卖压力对订单执行等待时间的影响是非对称的。经验分布中,买方压力将显著提高限价卖单被执行的概率和降低限价买单被执行的概率,且压力越大影响越明显；而卖方压力对限价卖单执行概率的影响并不随压力大小线性增加,这说明卖方压力逐渐释放过程中存在买卖双方激进程度的轮换,进一步揭示买卖双方耐心程度的差别。而模型中买卖压力对价格影响对称的假定偏离了实际情况,存在进一步改进的空间。
[Abstract]:China's A-share market is a typical order-driven market. Unlike the traditional pricing drive, investors can submit market price orders and price limit orders, and these orders can automatically match and conclude in accordance with the principle of "price first, time first". Because the price limit order book contains a large number of orders that deviate from the optimal quotation, many scholars believe that these unsold orders have a certain amount of information. The information extracted from the price limit book can greatly help short-term stock price forecasts. In addition to the details of the transaction, investors are also faced with the decision to choose an order. Therefore, it is necessary to establish a model to depict the information of the price limit instruction book, and the purpose of this paper is to try to establish the dynamic model of the price limit instruction book. In this paper, the dynamic pricing instruction book model is established. Firstly, because the dynamic change of the price limit instruction book is the performance of all kinds of order flow accumulation, on the basis of completing the static description of the price limit instruction book, This paper analyzes the relationship between the information of order flow and the change of state of dynamic limit price instruction book. According to the characteristics of order flow, this paper sets up the specific stochastic process of order flow, and obtains three factors of dynamic price limit instruction book (the difference of buying and selling price). Under certain assumptions, the infinite dimensional dynamic process of instruction book is transformed into the dynamic process of optimal quotation and optimal amount of trading. The model restores the market characteristics well, and obtains the important conclusion that the short term instruction book information has much higher influence on the stock price than the external market information. In order to analyze whether dynamic price limit instruction book model can help order decision, we compare and analyze the empirical distribution of waiting time for order execution. The empirical results show that when the initial state of the market is under the pressure of the seller, the theoretical distribution of the three factors model and the two-factor model (excluding instruction book information) is obtained. Adding instruction book information can help us better estimate the risk that the price limit order will not be executed; and when the market is under pressure from the buyer, This paper argues that this is because the influence of buying and selling pressure on the waiting time for order execution is asymmetric. Buyer pressure will significantly increase the probability of price limit orders being executed and reduce the probability of price limit purchase being executed, and the greater the pressure is, the more obvious the effect will be; however, the influence of seller pressure on the price limit order execution probability does not increase linearly with the pressure. This indicates that there is a radical rotation between the seller and the seller during the gradual release of the seller's pressure, which further reveals the difference in the degree of patience between the seller and the seller, while the assumption that the seller's pressure has a symmetrical effect on the price deviates from the actual situation. There is room for further improvement.
【学位授予单位】：厦门大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F224;F832.51

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