| 中国股市知情交易概率的测定 |
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| 引用本文： | 刘元海,陈伟忠.中国股市知情交易概率的测定[J].同济大学学报(自然科学版),2004,32(1):118-122. |
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| 作者姓名： | 刘元海 陈伟忠 |
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| 作者单位： | 同济大学,经济与管理学院,上海,200092 |
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| 基金项目： | 国家自然科学基金资助项目(70273027) |
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| 摘 要： | 根据知情交易者和未知情交易者行为,构建了交易者序贯交易过程.据此,建立单纯利用股票交易数据,在指 令驱动系统下中国股市知情交易概率测定模型.
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| 关 键 词： | 知情交易 交易结构 买力比率 |
| 文章编号： | 0253-374X(2004)01-0118-05 |
Measuring Probability of Informed Trading in Stock Market of China |
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| LIU Yuan-hai,CHEN Wei-zhong.Measuring Probability of Informed Trading in Stock Market of China[J].Journal of Tongji University(Natural Science),2004,32(1):118-122. |
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| Authors: | LIU Yuan-hai CHEN Wei-zhong |
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| Abstract: | According to the behavior of informed trader and uninformed trader,the sequential trading process of trader is created. Then this paper models the measurement of probability of informed trading in an order-driven stock market of China on the basis of stock transaction data. |
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| Keywords: | informed trading trading structure ratio of buying power |
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