投资者的交易频率与市场质量  

Investor’s trading frequency and market quality

作　　者：杨世超 刘善存[1] 张强[2] YANG Shichao;LIU Shancun;ZHANG Qiang(School of Economics and Management,Beihang University,Beijing 100191,China;School of Economics and Management,Beijing University of Chemical Technology,Beijing 100029,China)

机构地区：[1]北京航空航天大学经济管理学院,北京100191 [2]北京化工大学经济管理学院,北京100029

出　　处：《系统工程理论与实践》2021年第9期2271-2283,共13页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金(71771008);人文社科拔尖人才支持计划(YWF-19-BJ-W-45);中央高校基本科研业务费专项资金(PT2015)。

摘　　要：基于贝叶斯信念更新,构建了一个理性预期均衡模型,探讨交易频率对市场质量的影响,并且在模型中引入跟随者,探究知情交易者与跟随者之间的策略交互.结论显示跟随者总是会采取和知情交易者同向的交易策略,并且数值模拟发现过高的交易频率会减少知情交易者和跟随者的交易强度,同时会增加两类投资者的期望收益.此外,过高的交易频率在增加市场价格的信息含量的同时,会减少市场的流动性,甚至会导致流动性崩溃.Based on the method of Bayesian-updating,this study constructs a rational expectation equilibrium model,and explores the influence of trading frequency on market quality.Meanwhile,this study introduces follower and analyzes the strategic interaction between informed trader and follower.Our study draws conclusions that follower always adopts the same trading strategy as informed trader,and the numerical simulation shows that higher trading frequency reduces the trading intensity of informed trader and follower,and increases the expected returns of both types of investors.In addition,while increasing the informativeness of market prices,higher trading frequency will reduce market liquidity and even lead to liquidity collapse.

关 键 词：交易频率 市场微观结构 理性预期 跟随者 贝叶斯均衡 

分 类 号：F830[经济管理—金融学]