知情交易者和不知情交易者的策略互动  

Strategic Interaction between Informed and Uninformed Traders

作　　者：吴云峰[1] 宋逢明[1] 

机构地区：[1]清华大学经管学院,北京100084

出　　处：《运筹与管理》2008年第1期100-105,共6页Operations Research and Management Science

摘　　要：本文利用EEOW模型结合高频交易数据,对中国股票市场上知情交易者和不知情交易者的交易策略互动进行了实证研究。研究发现:在中国股票市场上,不知情交易者的交易行为对知情交易者没有影响,但是知情交易者的交易行为却对不知情交易者有显著的影响。当预期到市场上有众多知情交易者时,不知情交易者就减少交易以降低与知情交易者发生交易的概率。这一点与传统模型中的"噪声"交易者假设是不一致的。本文的结论对于今后构建更加贴近实际情况的交易策略模型有很好的指导意义。This paper places an empirical study on the trading behavior of informed and uninformed traders in China stock market with the high-frequency data using the EEOW model. The authors find that although the trading behavior of uninformed traders has no effect on informed traders, the trading behavior of uninformed traders does have significant effect on uninformed traders. When uninformed traders expect that there are so many informed traders in the market, they will cut their trade so as to reduce the probability of meeting the informed traders. This evidence is inconsistent with the＂ noise trader＂ assumption in those traditional microstructure models. The conclusion of this paper provides some suggestion for building more practical trading strategy model in future research.

关 键 词：市场微观结构 信息不对称 极大似然估计 投资者交易策略 

分 类 号：F830.91[经济管理—金融学]