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在证券市场中,由于交易主体之间存在信息不对称,不知情交易者在与知情交易者交易的过程中蒙受损失。为度量证券交易信息不对称的程度,多种方法和模型被用于测度知情交易。间接测度方法使用买卖价差、换手率等变量,它无法明确地表示交易者在市场中面临的信息不对称状况。价差分解模型、序贯交易模型或两者的结合方法则可以用来直接估计知情交易概率——知情交易占全部交易的比例。直接测度方法存在假设过于严格和估计困难的问题。
In the securities market, due to the asymmetric information between the transaction subjects, unwitting traders suffer losses during the transaction with the informed traders. To measure the degree of information asymmetry in securities trading, a variety of methods and models are used to measure informed transactions. Indirect measures, such as bid-ask spreads and turnover rates, do not provide a clear indication of the information asymmetry traders face in the marketplace. Spread decomposition model, sequential trading model or a combination of the two methods can be used to directly estimate the probability of informed trading - informed trading proportion of the total transactions. The direct measurement method has the problem of too strict assumptions and difficult estimation.