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利用生存分析理论建立一个高频交易强度模型,将市场因素对交易强度的影响分为临时性影响和持续影响,从而分析几个主要市场因素(市场深度、交易量及价差)对交易强度的长期、短期影响。以2006年上证50成份股前三季度高频数据作为样本,对影响交易强度的因素进行检验,结果发现市场深度对交易强度的短期影响显著为正,价差与交易量对交易强度的短期影响显著为负。而交易量对交易强度长期影响显著为正,市场深度对交易强度的长期影响显著为负,其中市场深度和价差对交易强度长期影响与知情交易策略密切相关。收益波动率对交易强度长期影响显著为正,而对短期影响显著为负。
Using the survival analysis theory to establish a high-frequency trading intensity model, the influence of market factors on the trading intensity is divided into temporary impact and continuous impact, so as to analyze the impact of several major market factors (market depth, trading volume and price difference) on trading intensity Short-term impact. Based on the high-frequency data of the first three quarters of 50 constituent stocks of Shanghai Stock Exchange in 2006, the paper analyzes the factors influencing the trading intensity. It is found that the short-term effect of the market depth on the trading intensity is significantly positive. The short-term effect of the spread and the trading volume on the trading intensity is significant Negative. The long-term impact of trading volume on trading intensity is positive. The long-term impact of market depth on trading intensity is significantly negative. The long-term impact of market depth and spread on trading intensity is closely related to the informed trading strategy. Long-term effects of volatility of returns on trading intensity are significantly positive while negative impacts on short-term are significantly negative.