| 基于非线性价格冲击的沪市隐性交易成本 |
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| 引用本文： | 王春峰,崔兰伟,房振明,张蕊.基于非线性价格冲击的沪市隐性交易成本[J].系统工程,2008,26(12):20-25. |
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| 作者姓名： | 王春峰 崔兰伟 房振明 张蕊 |
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| 作者单位： | 天津大学,管理学院,天津,300072;天津大学,金融工程研究中心,天津,300072 |
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| 基金项目： | 国家自然科学基金，国家杰出青年科学基金 |
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| 摘 要： | 综合考虑订单流不平衡和价格冲击的非线性特征,引入一种估计价格冲击的新方法,更准确地估计有效价格和摩擦价差.使用沪市超高频数据进行实证研究的结果表明,本文所定义的有效价差估计值比报价中值更接近有效价格,即以其为基准计算得到的摩擦价差更适合表示隐性交易成本的大小,并且发现通过报价中值计算得到的有效价差、报价差和摩擦价差相比明显高估了隐性交易成本.
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| 关 键 词： | 非线性价格冲击 有效价格 摩擦价差 有效价盖 报价中值 |
Implicit Trading Cost Based on Nonlinear Price Impact in Shanghai Stock Market |
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| WANG Chun-feng,CUI Lan-wei,FANG Zhen-ming,ZHANG Rui.Implicit Trading Cost Based on Nonlinear Price Impact in Shanghai Stock Market[J].Systems Engineering,2008,26(12):20-25. |
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| Authors: | WANG Chun-feng CUI Lan-wei FANG Zhen-ming ZHANG Rui |
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| Institution: | WANG Chun-feng,CUI Lan-wei,FANG Zhen-ming,ZHANG Rui (Financial Engineering Research Center,Tianjin University,Tianjin 300072,China) |
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| Abstract: | We introduce a nonlinear function to estimate the price impact,the function permits the price impact of buys and sells to be symmetric and asymmetric.We compute the estimated true price and friction spread from our model.The empirical analysis of high-frequency data from Shanghai market shows that the implied true price from our model is closer than the quote midpoint to the unobservable true price,so the friction spread which is computed using the implied true price is more suitable to measure the implicit... |
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| Keywords: | Nonlinear Price Impact Effective Price Friction Spread Effective Spread Quote Midpoint |
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