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针对中国股票市场特点将卖空限制因素引入动态EKOP模型,在此基础上构建交易到达率更新模型刻画知情和非知情交易到达率的日内动态模式,进一步采用上证180指数中八只成分股的2010年高频分笔数据实证分析订单流新息对两类交易到达率的影响,并探究不同类型交易者对新息的反应及消化过程。结果表明投资者会根据前期交易到达率和订单数据推测当期交易到达率情况,并且订单流新息能够对交易到达率产生持续性影响,证明了交易到达率的可预测性。
According to the characteristics of China’s stock market, the short-selling factor is introduced into the dynamic EKOP model. On the basis of this, an intraday dynamic model of transaction arrival rate updating model is constructed to depict the arrival rate of informed and uninformed transactions, and the eight components of the SSE 180 Index Year high-frequency data to empirically analyze the impact of new orders flow on the arrival rates of two types of transactions, and explore the different types of traders respond to the news and the digestion process. The result shows that investors can estimate the current transaction arrival rate based on the previous transaction arrival rate and order data, and the new arrival of the order flow can have a lasting impact on the transaction arrival rate, which proves the predictability of the transaction arrival rate.