指令流不平衡、指令爆发与价格冲击  

Order flow imbalance,quote burst and price impact

作　　者：刘志东[1] 赵致远 王超 LIU Zhidong;ZHAO Zhiyuan;WANG Chao(School of Management Science and Engineering,Central University of Finance and Economics,Beijing 100081,China)

机构地区：[1]中央财经大学管理科学与工程学院,北京100081

出　　处：《系统工程理论与实践》2022年第9期2367-2390,共24页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金(71971226)。

摘　　要：为深入探究高频市场微观结构下的价格冲击和价格发现过程,本文首先通过逐笔委托数据重构了限价指令簿,分别从纵向时间维度探讨了指令爆发时点前后市场的异常状态特征和从横向价格维度探讨了委托指令分布不平衡性特征.其次,在Hasbrouck价格冲击模型的基础上,同时纳入价格变动、成交量方向、多层级指令流不平衡和指令爆发四个不同层面测度指标,综合探讨了价格形成过程中各市场微观结构特征的影响,并在此基础上拓展分析了背后的机理和交易者行为特征.利用深圳上市样本股票的逐笔委托数据,进行实证研究的结果表明:传统理论中的成交价格变动和成交量方向所表现出的弱自相关性都更加微弱,而成交信息之外的委托指令流则反映更多流动性供给者信息,其不平衡特性是影响价格形成过程更为重要的因素;指令爆发往往带来额外的价格冲击,其背后原因是流动性供给者和流动性需求者的信息突变;我国股市交易存在“日内效应”和“价格操纵”等现象.To deeply explore the price impact and price discovery process under the microstructure of the high-frequency market,first,we reconstruct dynamic limit order book,and discuss the market anomalies around quote burst from the vertical time dimension and the imbalance characteristics of limit order distribution from the horizontal price dimension.Second,based on Hasbrouck’s price impact model,we include four different levels of measurement indicators:Price changes,volume direction,multi-level order flow imbalance,and quote burst,and comprehensively discuss the effects of these factors in the price formation process,and the mechanism and trader behavior characteristics behind.Using limit order book data of sample stocks listed in Shenzhen Stock Exchange,our empirical analysis results show that,the weak autocorrelation of price changes and trade directions,which is mentioned in classical researches,is decaying,while limit order flow is presenting more information of liquidity providers,hence limit order imbalance is becoming a more essential factor in price formation process.Quote bursts,which are resulted from information breakdown of liquidity providers and suppliers,often bring additional price impacts,and in China’s stock market,some traders may use information asymmetry to manipulate stock price.

关 键 词：限价指令 指令爆发 指令流不平衡 价格冲击 市场微观结构 

分 类 号：F830.91[经济管理—金融学]