How do Normal Traders and Sharp Traders Make Profits in the Chinese Security Market?  

作　　者：Mingyang Zhang Juliang Zhang TCECheng Guowei Hua 

机构地区：[1]Department of Management Science and Engineering,School of Economics and Management,Beijing Forestry University,Beijing 100083,China [2]Department of Management Science and Engineering,School of Economics and Management,Beijing Jiaotong University,Beijing 100044,China [3]Department of Logistics and Maritime Studies,The Hong Kong Polytechnic University,Hung Hom,Kowloon,Hong Kong SAR

出　　处：《Journal of Systems Science and Systems Engineering》2020年第2期203-234,共32页系统科学与系统工程学报（英文版）

基　　金：supported in part by the National Natural Science Foundation of China(NSFC)under grant numbers 71901027;the China Postdoctoral Science Foundation 2019M660509;the Science and Technology Innovation Program of Beijing Forestry Unlversity(BLX201829);the National Natural Science Foundation of China(NSFC)under Grant Nos.71661167009 and 71711530714;NSFC/Research Grants Council under Grant No.3-RAA7.

摘　　要：In this paper,we consider the strategic interaction between the normal and sharp traders in a dynamic limit-order security market and its impact on the Chinese security market at different market volatility levels.We find that when the proportion of sharp traders is less than a threshold in an orderdriven market,the sharp traders who submit limit orders will get more returns than the normal traders.The participation of sharp traders in the market can increase the total social welfare of all the traders.In addition,we show that:(1)when the market volatility level is generally low,the short-term sharp traders benefit from larger volatility;(2)when the market volatility level is generally high,the insider/cheating sharp traders with high-frequent trading rather than the short-term sharp traders benefit from extreme high volatility;(3)when the market volatility level is moderate,the sharp traders can increase market liquidity.

关 键 词：SHARP TRADER ORDER-DRIVEN MARKET limit-order strategic interaction 

分 类 号：F832[经济管理—金融学]