交易信号对交易过程的动态影响模型研究  

Dynamic Systematic Impact Model of Market Signals upon Trade and Its Empirical Research

作　　者：王春峰[1] 张龙斌[1] 房振明[1] 

机构地区：[1]天津大学管理学院,天津300072

出　　处：《预测》2008年第4期66-70,共5页Forecasting

基　　金：国家杰出青年基金资助项目(70225002)

摘　　要：交易时间、交易量和交易价格是市场交易者最容易观察到的交易信号,这些信号所传递的信息必然对交易者的交易策略和交易过程产生影响。根据Manganelli基于不规则时间序列对交易时间、交易量和交易价格建立的动态系统模型,在考虑交易时间间隔的不规则性对价格波动性度量影响的基础上提出了改进模型,并利用中国股市的数据对改进前后的模型进行了实证比较。比较结果表明改进模型能更好地解释微观结构理论所揭示的交易时间、交易量和交易价格之间的动态关系及其对交易过程的影响。Price, volume and time are the most important observable signals in the securities market. The information conveyed by these market signals necessarily has an impact on the market agents and also the trade. Based on the dynamic systematic model presented by Simone Manganelli which models time, volume and price simultaneously, an improved model was presented by considering the irregular character of the data. Then the models are compared by using the Chinese stocks data. The empirical results suggest that the improved model can better interpret the impact of these signals on trade predicted by classical microstructure theory.

关 键 词：超高频数据 不规则时间序列 自回归条件久期 GARCH 

分 类 号：F832.5[经济管理—金融学]