知情交易度量的Lévy跳方法及实证研究  

Using Lévy jumps to measure informed trading and the empirical study

作　　者：龚朴[1] 杨博理[1] 

机构地区：[1]华中科技大学管理学院,武汉430074

出　　处：《管理科学学报》2014年第10期82-94,共13页Journal of Management Sciences in China

基　　金：国家自然科学基金重点资助项目(71231005);国家自然科学基金面上资助项目(71071067);教育部高等学校博士学科点专项科研基金资助项目(20110142110068)

摘　　要：金融市场中存在着由私有信息推动的知情交易,其具有行为复杂、甄别困难等特性.本文以股票价格序列的Lévy跳为工具揭示交易价格的异常波动,从而测度这一较为特殊的交易情况.基于Lévy跳跃程度的度量方法和知情交易概率PIN模型,文章研究了股票价格的跳跃异常程度与股票交易的PIN值之间的相关性情况,发现两者之间具有显著的相关关系,并通过事件研究进一步支持了跳跃程度可以在一定程度上度量知情交易的假设.于此同时,给出了跳跃程度异常系数的计算方法,用以在实践中度量跳跃的异常程度,为知情交易的监管等提供了另一种工具上的选择.There exists informed trading which is motivated by information in the financial markets. It has complex behavior and is difficult to discriminate. The paper uses Lévy kumps of the stock price series as a tool to measure the abnormity of prices so as to detect this special case in the market. Based on the method of esti-mating the degree of activity of kumps and probability of informed trading（PIN）model,the paper examines the relativity between stock price kumps’degree and PIN in stock trading and finds that there exists a signifi-cant correlation between the two,and then further supports the hypothesis that kump activity can be used to measure the informed trading. Except that,the paper presents the computational method of the coefficient of kumps’degree abnormity which can be contrasted. It can be regarded as another tool for the supervising of in-formed trading.

关 键 词：Lévy 跳 知情交易 PIN 资产重组 

分 类 号：F832.5[经济管理—金融学]