现货市场与期货市场微观结构比较研究  

Study on microstructures comparison between cash market and futures market

作　　者：肖辉[1] 吴冲锋[1] 

机构地区：[1]上海交通大学金融工程研究中心,上海200052

出　　处：《管理科学学报》2009年第1期93-100,136,共9页Journal of Management Sciences in China

基　　金：国家杰出青年基金资助项目(70025303);国家自然科学基金资助项目(70173031)

摘　　要：证券现货市场和期货市场的微观结构是不相同的,在考虑交易成本和卖空限制条件下研究了拥有特定证券信息的知情交易者在这两个市场中的交易策略,以及相应的做市商和未知情策略交易者的交易策略.通过上述研究比较了现货市场与期货市场微观结构的不同.The Microstructures between the cash market and futures market is different. This paper investigates the strategy of the informed trader who owned the specific security information. The strategies of the market maker and the uninformed strategic trader are also analyzed under the same conditions. The study considers the trade cost and the short sales constraints . The different between the cash market and futures market are compared through our research.

关 键 词：现货市场 期货市场 微观结构 交易策略 

分 类 号：F830.91[经济管理—金融学]