流动性约束下的交易者策略  

The Traders' Strategies Under Liquidity Restriction

作　　者：许睿[1] 刘海龙[1] 

机构地区：[1]上海交通大学安泰经济与管理学院

出　　处：《上海交通大学学报》2006年第9期1585-1591,共7页Journal of Shanghai Jiaotong University

摘　　要：假设交易者可以分为流动性交易者、知情交易者和不知情交易者三类,则可以针对指令驱动市场建立模型:流动性交易者的最优指令决定于他对股票价值的估计、股票的即时价格和流动性;在私有信息传播过程中,知情交易者因为竞争要提交指令尽快成交;不知情交易者可以通过分析指令簿和指令成交记录来猜测私有信息的价值.最后,用深圳证券交易所的数据进行了实证.Supposing the traders could be classified as three types-liquidity traders, informed traders and uninformed traders, this paper presented a model on the order-driven market. In this model, liquidity traders＇ optimal order submission depends on liquidity, price of immediacy and the traders＇ valuation for the stock. During the diffusion of private information, informed traders have to submit market order as soon as they can because of competition. Uninformed traders can guess the value of private information by analyzing the order book and deal record. Lastly, it was demonstrated by the data from Shenzhen Securities Exchange.

关 键 词：指令驱动市场 流动性 知情交易者 交易策略 

分 类 号：F803.91[经济管理]