基于价格强度模型的量价关系与交易策略研究  

An intensity-based method for the price-volume relation and the trading strategy

作　　者：黄稚渊 韩艾[2] 汪寿阳 HUANG Zhiyuan;HAN Ai;WANG Shouyang(School of Economics and Management, University of Chinese Academy of Sciences, Beijing 100190, China;Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing 100190, China)

机构地区：[1]中国科学院大学经济与管理学院,北京100190 [2]中国科学院数学与系统科学研究院,北京100190

出　　处：《系统工程理论与实践》2018年第4期848-862,共15页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金(71671183)~~

摘　　要：本文将股票日内高频价格序列分解为价格上涨事件和价格下跌事件，采用价格强度模型刻画股票价格的动态特征，并捕捉日内微观尺度下交易量对股票价格的影响．研究结果表明，交易量对价格起助涨助跌的顺势推动作用：上涨后放量有助于进一步提高股票价格，下跌后放量则进一步压低股票价格．此外，交易量的影响具有不对称性，上涨时的助涨效应较下跌时的助跌效应更为明显．基于价格强度模型设计的高频交易策略可以获得显著的超额收益，表明A股市场仍然不是弱式有效市场．相比于纯价格数据，交易量数据具有预测价格的额外信息．本文为高频价格动态研究提供了新的建模分析框架，同时为日内量价关系和市场有效性问题提供了新的证据．This paper captures the intraday price dynamics and the price-volume relation by modeling the intensities of the price rising and price falling events. We find that when the price is rising the trading volume drives the price up, while when the price is falling the trading volume pulls the price down. Moreover, the magnitude of the former effect is stronger than the latter＇s. The trading strategies based on our price intensity models earn remarkably high excess returns, which suggests the weak-form market inefficiency of the Chinese A-share market. In the trading strategies, the trading volume contains unique information and improves the profitability significantly.

关 键 词：价格强度 量价关系 交易策略 市场有效性 

分 类 号：F832[经济管理—金融学]