论文部分内容阅读
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。
Considering the non-linear characteristics of order flow imbalance and price shocks, a new method to estimate the price shock is introduced to estimate the effective price and the friction spread more accurately. The empirical research using Shanghai UHF data shows that the effective price difference as defined in this paper is closer to the effective price than the median price, that is, the friction spread calculated based on it is more suitable for representing the size of recessive transaction costs , And found that the effective spread, which is calculated from the median of quotations, significantly overshoots the hidden transaction costs as compared with the price spread.