噪声交易者、交易行为多样性与即时价格冲击  

Noise traders,diversity of trading behavior,and immediate price impact of a stock and its warrant

作　　者：谢文杰 李牧遥 周炜星[1] XIE Wen-jie;LI Mu-yao;ZHOU Wei-xing(School of Business,East China University of Science and Technology,Shanghai 200237,China)

机构地区：[1]华东理工大学商学院,上海200237

出　　处：《管理科学学报》2020年第4期98-109,共12页Journal of Management Sciences in China

基　　金：国家自然科学基金资助项目(U1811462,71532009);中央高校基本科研业务费资助项目.

摘　　要：基于中国金融市场某股票和权证订单成交数据构建交易网络,分析交易网络微观结构蕴含的市场信息和交易行为多样性对即时价格冲击的影响.股票和权证交易网络中包含了近100万的交易者,在给定的显著性水平下,进行交易网络降噪,剔除了大部分噪声交易者,构建“核心”交易网络,发现噪声交易者具有更大的即时价格冲击.本文主要贡献是基于复杂网络模体对交易网络中噪声交易者和交易行为多样性进行了向量化表征,定义交易行为多样性指标,发现交易行为多样性越大的交易者具有更敏感的即时价格冲击影响.基于复杂网络微观结构分析方法解构蕴藏于交易网络中的市场交易行为,为研究交易者行为和价格行为提供了新视角.Two trading networks based on the transaction data of a stock and its warrant in China*s financial market are constructed to analyze the market information implied by the microstructure of trading networks and the influence of diversity of trading behaviors on immediate price.The trading networks contain nearly one million traders.At a given significance level,the paper eliminates most of the noise traders,constructs the“core”trading network,and finds the noise traders have greater impact on immediate prices.By analyzing the microstructure of the trading networks and identifying 30 network positions in the triadic motifs,the diversity of trading behavior is calculated by the frequency at which the trader appears at the network position.The traders with larger diversity of trading behaviors have a more sensitive impact on immediate prices.The microstructure of trading network provides a new perspective for studying trader behaviors and price behaviors.

关 键 词：交易网络 即时价格冲击 交易者行为 微观结构 噪声交易者 

分 类 号：F830.91[经济管理—金融学]