| 指令驱动市场中耐心交易者策略对价格形成的影响 |
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| 引用本文： | 张强,刘善存,林千惠,邱菀华. 指令驱动市场中耐心交易者策略对价格形成的影响[J]. 系统工程理论与实践, 2013, 33(9): 2195-2203. DOI: 10.12011/1000-6788(2013)9-2195 |
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| 作者姓名： | 张强 刘善存 林千惠 邱菀华 |
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| 作者单位： | 1. 北京化工大学 经济管理学院, 北京 100029;2. 北京航空航天大学 经济管理学院, 北京 100191 |
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| 基金项目： | 中央高校基金,国家自然科学基金,全国优秀博士论文作者专项基金 |
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| 摘 要： | 分析了耐心交易者行为对价格形成的影响, 描述指令驱动市场中基于耐心交易者策略 及其规避信息风险的价格形成过程, 发现耐心交易者竞争的人数对价差存在显著负指数影响. 选取2005.1.2 至2005.12.31 上证817 只股票的高频数据作为样本, 验证了竞争人数对价差的负指数影响, 同时验证了价格形成过程的合理性. 对EKOP 模型中资产期望价格做了修正.
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| 关 键 词： | 指令驱动市场 知情交易者 耐心交易者 |
| 收稿时间： | 2011-06-09 |
Impatient traders' strategies and price formation in order driven markets |
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| ZHANG Qiang , LIU Shan-cun , LIN Qian-hui , QIU Wan-hua. Impatient traders' strategies and price formation in order driven markets[J]. Systems Engineering —Theory & Practice, 2013, 33(9): 2195-2203. DOI: 10.12011/1000-6788(2013)9-2195 |
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| Authors: | ZHANG Qiang LIU Shan-cun LIN Qian-hui QIU Wan-hua |
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| Affiliation: | 1. School of Economics and Management, Beijing University of Chemical Technology, Beijing 100029, China;2. School of Economics and Management, Beihang University, Beijing 100191, China |
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| Abstract: | In this paper, we analyze the effects of patient traders behaviors on price formation and describe the evolution of price formation based on trading strategies of patient traders and information risk. We find that the number of patient traders has negative exponential influence on the spread and testify the result by selecting the high-frequency trading data of 817 securities as our sample. We also testify the process of price formation. Besides, one formula about expect value of asset in EKOP model is corrected. |
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| Keywords: | order-driven market informed trader patient trader |
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