摘要
本文以汉密尔顿状态转移技术为基础,建立信息交易概率的实时度量方法,并系统分析知情交易的时变特征及其与交易环境之间的关系。实证结果表明,知情交易对价格的影响远远高于非知情交易,且信息交易概率与交易规模正相关、与市场深度负相关,这些市场环境因素影响着知情交易者的交易决策。
Based on a Hamilton regime switching model, the probability of informed trading （PIN）, as a measurement of informed trading, has been introduced in this paper. Then, the paper investigates the correlation between PIN and trading environment. The results show that in Shanghai stock market, informed trading play a more important role on the impact of price than liquidity trading. And the market environment, such as trading volume, market depth, and trading size have an impact on the activity of informed trader.
出处
《未来与发展》
CSSCI
2007年第12期52-56,共5页
Future and Development
基金
国家杰出青年科学基金项目(70225002)
国家自然科学基金应急研究项目(70041039)
关键词
流动性
价差
市场深度
信息交易概率
liquidity
spread
market depth
probability of informed trading
