| 基于高频数据市场微观结构的应用研究 |
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| 引用本文： | 王黎明,文婉瑶.基于高频数据市场微观结构的应用研究[J].泰山学院学报,2012(3):1-5. |
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| 作者姓名： | 王黎明 文婉瑶 |
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| 作者单位： | 1. 上海财经大学统计与管理学院,上海200433 上海财经大学浙江学院,浙江金华312013
2. 上海市招商银行信用卡中心,上海,200120 |
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| 摘 要： | 本文主要运用金融超高频资料研究了金融市场微观结构的特征及价格形成机制等问题.从流动性角度研究了上海股市的微观结构.充分利用我国限价指令驱动市场分笔数据所包含的信息,在交易量持续期的基础上,提出一个符合限价指令驱动市场特征的流动性指针,并从市场微观结构理论出发,选取了非对称信息的若干代理变量,分析非对称信息对市场流动性的影响程度.
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| 关 键 词： | 超高频数据 市场微观结构 流动性 持续期 Log-ACD模型 |
Application Research on Market Microstructure Based on High Frequency Data |
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| WANG Li-ming,WEN Wan-yao.Application Research on Market Microstructure Based on High Frequency Data[J].Journal of Taishan University,2012(3):1-5. |
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| Authors: | WANG Li-ming WEN Wan-yao |
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| Institution: | WANG Li - ming, WEN Wan - yao( School of Statistics and Management, Shanghai University of Finance and Economies, Shanghai, 200433 ; 2. Shanghai University of Finance and Economics Zhejiang College, Jinhua, 312013; 3. Credit Card Center, Shanghai Merehants Bank, Shanghai, ,200120 China) |
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| Abstract: | ：The paper investigates the character and price formation mechanism of financial market micro- structure by means of super high frequency data. We study the microstructure of Shanghai stock market from the point of liquidity. We make full use of the information included in limit order driven market data, put forward a liquidity indicator consistent with the character of limit order driven market on the base of duration of trading volume, select several variables of asymmetric information, analyze the influence effect of asymmetric information to market liquidity from the market microstructure theory. |
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| Keywords: | super high frequency data market microstructure liquidity duration Log - ACD model |
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