中国证券市场日内交易信息对流动性和波动性的影响研究

发布时间：2018-07-05 15:41

本文选题：市场微观结构 + 交易信息　；参考：《天津大学》2013年博士论文

【摘要】：信息是投资者制定交易策略的根本依据作为信息的微观结构载体，订单流蕴含着关于投资者的信息量收益预期交易偏好等全部信息，是投资者对资产价值判断的集中体现，直接影响着金融市场资产的价格发现过程因此，分析订单中的微观交易信息对价格行为的作用模式，对于揭示价格发现机理具有重要的意义本文即从订单流的角度出发，基于市场微观结构理论和信息探测理论，探究订单流所包含的日内交易信息的结构特征，以及其对资产价格行为的影响和在市场风险管理中应用具体内容主要包括以下方面第一部分，，订单到达率更新及新息消化过程研究首先，在考虑中国股市交易机制存在卖空限制的特点的基础上，将卖空限制因素引入具有GARCH结构的订单达到率更新模型，提高模型在中国股市中的适用性然后，基于订单流的日内周期特征将模型推广到日内时间维度，考察股市中的知情和非知情交易者在日内水平下学习订单信息并调整交易行为的过程，进一步探究非预期订单到达新息对投资者交易到达率的多期冲击特点，由此对日内订单流的信息结构进行全面系统的分析第二部分，日内交易信息对资产价格行为的影响研究分别考察了日内信息对市场流动性和价格运动的影响在对流动性的影响方面，首先，结合EKOP模型和交易到达率更新模型对日内时间水平的信息非对称水平进行实时测度，分析由已成交订单流所揭示的市场信息效率对流动性的影响然后，从限价订单簿的角度出发，基于价格波动是信息博弈的体现，以报价波动表示报价信息，利用动态面板模型对各个委托档位上的日内报价信息对流动性的影响进行研究，从中反映市场投资者的订单提交行为特征在对价格运动的影响方面，以每笔成交订单的基本构成，即交易的量方向和持续期表示微观交易信息，构建三状态非对称ACD模型建立微观交易信息与价格运动的联系，利用超高频交易数据实证研究微观交易信息对连续价格运动的动态影响模式进一步，由价格分解模型给出瞬时价格波动关于微观交易信息的解析式，通过参数自举法模拟日内的瞬时波动路径，进而探究微观交易信息对价格瞬时波动的冲击模式由此从微观交易层面揭示实时订单信息对价格运动过程的动态影响第三部分，考虑收益率非对称结构的风险管理研究基于中国股市收益率的有偏分布及价格波动的杠杆效应特点，采用日内高频交易信息并结合中国股市的卖空限制特点对收益率的非对称结构进行更加精确的刻画，以此构建符合中国股市交易机制及收益率非对称结构特点的VaR和ES风险管理模型，丰富和完善金融风险管理的方法
[Abstract]:Information is the fundamental basis for investors to formulate trading strategies as the microstructural carrier of information, order flow contains all the information about investors' information, income expectation, trade preference and so on. It is the concentrated embodiment of investors' judgment on asset value. Therefore, it is of great significance to analyze the role of micro transaction information in order to reveal the mechanism of price discovery from the perspective of order flow. Based on the market microstructure theory and the information detection theory, this paper explores the structural characteristics of the intraday transaction information contained in the order flow. And its influence on asset price behavior and its application in market risk management mainly include the following aspects: first, the research of order arrival rate updating and innovation digestion process, On the basis of considering the characteristics of short selling restriction in Chinese stock market trading mechanism, the short selling restriction factor is introduced into the order achievement rate update model with GARCH structure to improve the applicability of the model in Chinese stock market. Based on the intraday cycle characteristics of order flow, the model is extended to the intraday time dimension to investigate the process of informed and uninformed traders learning order information and adjusting their trading behavior at the intraday level in the stock market. Further explore the characteristics of the impact of unexpected order arrival innovation on investors' trading arrival rate, and then make a comprehensive and systematic analysis of the information structure of intraday order flow. The effects of intraday trading information on asset price behavior; first of all, the effects of intraday information on market liquidity and price movements. Combined with EKOP model and transaction arrival rate update model, the information asymmetry level of intra-day time level is measured in real time, and the effect of market information efficiency on liquidity, which is revealed by order flow, is analyzed. From the point of view of price limit order book, based on the fact that price fluctuation is the embodiment of information game, the paper uses dynamic panel model to study the effect of intra-day quotation information on liquidity of each commission. Reflecting the behavior characteristics of order submission of market investors in terms of its influence on price movement, the basic composition of each transaction order, namely, the quantity direction and duration of the transaction, is used to represent the micro trading information. A three-state asymmetric ACD model is constructed to establish the relationship between micro transaction information and price movement, and the dynamic influence model of micro transaction information on continuous price movement is further studied by using UHF transaction data. Based on the price decomposition model, the analytical formula of the micro trading information of the instantaneous price fluctuation is given, and the instantaneous fluctuation path in the day is simulated by the parameter bootstrap method. Then it explores the impact mode of micro transaction information on the instantaneous fluctuation of price. The third part reveals the dynamic influence of real time order information on the price movement process from the micro transaction level. Risk Management based on the skewed Distribution of returns and the leverage effect of Price volatility in Chinese Stock Market The asymmetric structure of yield is described more accurately by using high-frequency intraday trading information and the characteristics of short selling restriction in Chinese stock market. In this way, the VaR and es risk management models, which accord with the trading mechanism of Chinese stock market and the asymmetric structure of return rate, are constructed to enrich and perfect the methods of financial risk management.
【学位授予单位】：天津大学
【学位级别】：博士
【学位授予年份】：2013
【分类号】：F832.51

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