连续双向拍卖机制下的短期价格行为分析  

Analysis of short-term price behavior under continuous double auction mechanism

作　　者：刘波[1] 曾勇[1] 李平[1] 

机构地区：[1]电子科技大学管理学院,四川成都610054

出　　处：《系统工程学报》2007年第1期20-26,共7页Journal of Systems Engineering

基　　金：教育部优秀青年教师资助计划项目(教人司[2003]355号);新世纪优秀人才支持计划资助项目(教技司[2005]2号);电子科技大学创新团队支持计划和电子科技大学青年基金资助项目(JX04045)

摘　　要：建立描述限价指令市场中连续双向拍卖交易机制下短期价格动态变化的理论模型.通过对该机制下的几个特征变量包括最佳(高)买价、最佳(低)卖价、买卖价差、成交价格和成交概率的分析揭示连续双向拍卖机制下的短期价格行为,并着重探讨其均衡性质包括成交价格所收敛到的竞争均衡及达到均衡的时间.研究结果表明建立的理论模型能较好地刻画连续双向拍卖机制下短期价格的动态演进特征,进而印证连续双向拍卖交易机制能快速收敛到竞争均衡从而产生很高的价格发现效率的相关结论.In this paper, we establish a theoretical model to describe the dynamics of the short-term price under continuous double auction mechanism in limit order markets. By analyzing some relevant characteristic variables including the best （highest） bid, best （lowest） ask, bid-ask spread, transaction price and transaction probability, we reveal the short-term price behavior under continuous double auction mechanism. And we emphasize the discussion on the equilibrium properties of the short-term price including the competitive equilibrium it converges to and corresponding elapsed time. The results indicate that our established theoretical model can well capture the dynamics of the short-term price under continuous double auction mechanism, and further corroborate the relevant conclusions that the continuous double auction can converge rapidly to the competitive equilibrium and then produce high efficiency of price discovery.

关 键 词：金融市场微观结构 连续双向拍卖 限价指令簿 短期价格行为 竞争均衡 仿真 

分 类 号：F830.91[经济管理—金融学]