订单拆分、知情交易概率与风险定价  

Order Slicing,the Probability of Informed Trading and Risk Pricing

作　　者：徐光鲁 马超群[2] 刘江龙 米先华 XU Guanglu;MA Chaoqun;LIU Jianglong;MI Xianhua(Post-Doctoral Research Center,Agricultural Bank of China,Beijing 100005,China;Business School,Hunan University,Changsha,Hunan 410082,China;School of Economics and Management,Xidian University,Xi’an,Shaanxi 710071,China)

机构地区：[1]中国农业银行博士后科研工作站,北京100005 [2]湖南大学工商管理学院,湖南长沙410082 [3]西安电子科技大学经济管理学院,陕西西安710071

出　　处：《财经理论与实践》2021年第6期67-74,共8页The Theory and Practice of Finance and Economics

基　　金：国家社会科学基金项目(19AZD014);国家自然科学基金项目(71850012)。

摘　　要：基于2018-2020年沪深300指数成分股的高频数据,构建累计拆分订单比变量度量市场订单拆分行为,考虑订单拆分行为对知情交易概率及其风险定价能力的影响。实证发现:订单拆分行为增加了不同算法下知情交易概率的差异,这一差异对流动性和订单规模因素具有稳健性。进一步研究发现:不同的订单拆分水平下,知情交易概率与风险定价之间呈现非线性关系,高订单拆分水平降低了知情交易概率的风险定价能力。This paper is based on the high-frequency data of CSI 300 index from 2018 to 2020,and presents the ratio of order slicing as index of stealth trading to empirically tests its influence on the probability of informed trading and asset pricing.The results show that the order slicing behavior increases the differences of the probability of informed trading under different algorithms and this difference is robust to liquidity and order size.Further research shows under different order slicing levels,there is a non-linear relationship between the informed transaction probability and risk pricing.A high order slicing level reduces the risk pricing ability of the informed transaction probability.

关 键 词：订单拆分 知情交易概率 风险定价 

分 类 号：F830.91[经济管理—金融学]