基于非线性价格冲击的沪市隐性交易成本  

Implicit Trading Cost Based on Nonlinear Price Impact in Shanghai Stock Market

作　　者：王春峰[1,2] 崔兰伟[1,2] 房振明[1,2] 张蕊[1,2] 

机构地区：[1]天津大学管理学院,天津300072 [2]天津大学金融工程研究中心,天津300072

出　　处：《系统工程》2008年第12期20-25,共6页Systems Engineering

基　　金：国家自然科学基金资助项目(70771076);国家杰出青年科学基金资助项目(70225002)

摘　　要：综合考虑订单流不平衡和价格冲击的非线性特征,引入一种估计价格冲击的新方法,更准确地估计有效价格和摩擦价差。使用沪市超高频数据进行实证研究的结果表明,本文所定义的有效价差估计值比报价中值更接近有效价格,即以其为基准计算得到的摩擦价差更适合表示隐性交易成本的大小,并且发现通过报价中值计算得到的有效价差、报价差和摩擦价差相比明显高估了隐性交易成本。We introduce a nonlinear function to estimate the price impact, the function permits the price impact of buys and sells to be symmetric and asymmetric. We compute the estimated true price and friction spread from our model. The empirical analysis of high-frequency data from Shanghai market shows that the implied true price frofn our model is closer than the quote midpoint to the unobservable true price, so the friction spread which is computed using the implied true price is more suitable to measure the implicit trading cost. Our empirical analysis also shows that compared with the friction spread the effective spread, quoted spread, computed by using the midpoint, has an upward bias, and that the implicit transaction costs may be lower than previous estimates.

关 键 词：非线性价格冲击 有效价格 摩擦价差 有效价差 报价中值 

分 类 号：F830[经济管理—金融学]