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一、引 言金融市场微观结构所考察的对象是特定交易制度安排下金融资产交换行为的过程、结果及其相关特征 ( O’Hara,1 995 )。市场微观结构研究通过将时间窗口缩小 ,将特定交易制度安排与投资者行为、价格发现过程有机地联系在一起 ,有助于进一步揭示金融市场的运行效率 ,侦测
I. INTRODUCTION The subject of the microstructure of financial markets is the process, the result and the related characteristics of the exchange of financial assets under the arrangement of specific transactions (O’Hara, 1995). Market microstructure research By narrowing the time window, the specific trading system arrangement and investor behavior, price discovery process organically linked to help further reveal the financial markets operating efficiency, detection