基于限价指令簿高频动态演化的价格冲击及日内模式研究  

Price Shock and Its Intraday Pattern Based on the Dynamic Evolution of the Limit Order Book

作　　者：赵景东[1] 朱洪亮[1] 李心丹[1] 

机构地区：[1]南京大学工程管理学院,江苏南京210093

出　　处：《证券市场导报》2018年第4期52-60,共9页Securities Market Herald

基　　金：教育部人文社科规划项目"中国证券市场高频交易行为与市场监管研究(17YJA790101)"的资助

摘　　要：本文基于限价指令簿买卖5档的信息,通过刻画限价指令簿上订单的动态演化过程,利用5秒的高频订单数据,来探讨指令簿层面不同报价的订单行为对价格冲击的贡献程度。同时,本文根据标的证券的流通市值规模进行分类,分别分析了限价买单与限价卖单造成的价格冲击的日内模式。研究表明,最优报价的订单行为对价格冲击的影响是十分显著的,贡献度也最高,而2~5档报价的订单行为造成的价格冲击较弱,平均是最优报价订单的一半。而通过对价格冲击的日内模式的分析,发现股票价格在开盘阶段和收盘阶段更容易受到冲击。This paper is based on the 5-level order information of the limit order book, using high frequency data of 5 seconds period to depict the dynamic evolution process of the limit orders on the limit order book, trying to explore the contribution to the price shock by the limit orders with different quotes. Meanwhile, we classify the securities according to their circulation market capitalization, and analyze the intraday pattern of price shocks caused by limit buy orders and limit sell orders. The research shows that the order behavior of the best quote influence the price shock significantly, and its contribution to the price movement is highest among other quotes, nearly twice as the contribution devoted by 2-5 level quotes. By analyzing the intraday pattern of price shocks, we found that the stock price is more vulnerable during the opening and closing phases, and the price is more likely to be manipulated at that time.

关 键 词：限价指令簿 动态演化 价格冲击 高频数据 日内模式 

分 类 号：F830.91[经济管理—金融学] F832.5