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指令驱动市场中耐心交易者策略对价格形成的影响
Impatient traders’ strategies and price formation in order driven markets
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.
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.
指令驱动市场 / 知情交易者 / 耐心交易者 {{custom_keyword}} /
order-driven market / informed trader / patient trader {{custom_keyword}} /
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中央高校基金(ZZ1319);国家自然科学基金(71071010);全国优秀博士论文作者专项基金(2000466)
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