基于汉密尔顿状态转移模型的沪市知情交易度量与特征分析  

Measuring and Characteristic Analyzing of Informed Trading in Shanghai Stock Market Base on Hamilton Regime Switching Model

作　　者：但功伟[1] 

机构地区：[1]天津大学管理学院,天津300072

出　　处：《未来与发展》2007年第12期52-56,共5页Future and Development

基　　金：国家杰出青年科学基金项目(70225002);国家自然科学基金应急研究项目(70041039)

摘　　要：本文以汉密尔顿状态转移技术为基础,建立信息交易概率的实时度量方法,并系统分析知情交易的时变特征及其与交易环境之间的关系。实证结果表明,知情交易对价格的影响远远高于非知情交易,且信息交易概率与交易规模正相关、与市场深度负相关,这些市场环境因素影响着知情交易者的交易决策。Based on a Hamilton regime switching model, the probability of informed trading （PIN）, as a measurement of informed trading, has been introduced in this paper. Then, the paper investigates the correlation between PIN and trading environment. The results show that in Shanghai stock market, informed trading play a more important role on the impact of price than liquidity trading. And the market environment, such as trading volume, market depth, and trading size have an impact on the activity of informed trader.

关 键 词：流动性 价差 市场深度 信息交易概率 

分 类 号：F830.9[经济管理—金融学]