【摘要】：期貨市場雖然不被普通投資者所熟悉,但隨著我國期貨市場逐漸成熟,國際市場影響力日漸提高,針對期貨市場的微觀結(jié)構(gòu)特征值得探究。相比對股市微觀結(jié)構(gòu)的豐富研究,我國期貨市場微觀結(jié)構(gòu)的相關(guān)研究尚不充足。現(xiàn)有的金融市場微觀結(jié)構(gòu)研究大多基于交易行為所包含的信息展開,從交易信息中構(gòu)建交易量、交易不平衡等指標(biāo),探究其對價格的影響關(guān)系。在指令驅(qū)動的期貨市場中,訂單簿作為投資者關(guān)注的信息中心,包含著有關(guān)投資者信息、風(fēng)險偏好、行為偏好等重要信息,近年來學(xué)者圍繞訂單簿構(gòu)建的訂單流不平衡指標(biāo)為量化訂單簿信息提供了很好的工具。探究我國期貨市場投資者行為的相關(guān)特征,實證檢驗訂單流不平衡對價格的影響程度,是本文的核心內(nèi)容。本研究基于大連商品交易所上市品種的歷史Level-2數(shù)據(jù),選擇交易量最大的鐵礦石、豆粕和棕櫚油的主力合約作為研究對象。對原始數(shù)據(jù)進(jìn)行一系列預(yù)處理后,計算交易筆數(shù)不平衡、交易量不平衡、交易金額不平衡、訂單流不平衡和價格變化等數(shù)據(jù),并對各變量分合約分別進(jìn)行相關(guān)分析、自相關(guān)分析和平穩(wěn)性檢驗,探索期貨市場投資者的行為特征。在此基礎(chǔ)上,設(shè)計交叉對比實驗,檢驗訂單流不平衡對價格的影響程度,并在不同的切片粒度和交易量下檢驗其影響程度的穩(wěn)健性。研究結(jié)果發(fā)現(xiàn),在我國期貨市場中合約價格上漲(下降)時賣方(買方)主動發(fā)起的交易次數(shù)更多,但賣方(買方)主動發(fā)起的交易量并沒有比買方(賣方)主動發(fā)起的交易量更多;投資者在主動發(fā)起交易時傾向于跟隨其他交易者發(fā)起同向交易,跟隨發(fā)起的交易量并無規(guī)律可言;相對應(yīng)的,投資者在操作限價單的掛單撤單時,更為理性不易受其他投資者交易行為的干擾。此外,驗證了訂單流不平衡與期貨價格變動具有顯著的正相關(guān)關(guān)系,相比交易量不平衡指標(biāo),訂單流不平衡指標(biāo)對價格的沖擊效應(yīng)更為顯著,模型回歸的擬合系數(shù)更優(yōu)。進(jìn)一步的魯棒性檢驗發(fā)現(xiàn),當(dāng)合約為主力合約、且沒有發(fā)生全天單邊市的情況下,訂單流不平衡的價格沖擊效應(yīng)在不同的交易量水平、不同的切片粒度下均有很好的顯著性水平和較高的擬合系數(shù)。
[Abstract]:Although the futures market is not familiar to ordinary investors, with the maturity of the futures market in China and the increasing influence of the international market, the microstructure characteristics of the futures market are worth exploring. Compared with the rich research on the microstructure of the stock market, the relevant research on the microstructure of the futures market in China is not sufficient. Most of the existing research on the microstructure of financial market is based on the information contained in the transaction behavior. From the transaction information, the index of transaction volume, trade imbalance and so on are constructed to explore the relationship between the influence of the financial market microstructure on the price. In an order-driven futures market, an order book, as an information center for investors, contains important information about investors, risk preferences, behavior preferences, and so on. In recent years, the disequilibrium index of order flow constructed by scholars around order book provides a good tool for quantifying order book information. It is the core content of this paper to explore the relevant characteristics of investors' behavior in futures market of our country, and to test the influence degree of the imbalance of order flow on price. Based on the historical Level-2 data of the listed varieties in Dalian Commodity Exchange, the main contracts of iron ore, soybean meal and palm oil with the largest trading volume were selected as the research object. After a series of pre-processing of the original data, the data, such as the imbalance of the number of transaction pens, the imbalance of transaction volume, the imbalance of transaction amount, the imbalance of order flow and the change of price, are calculated, and the correlation analysis of each variable sub-contract is also carried out. Auto-correlation analysis and stationarity test are used to explore the behavior characteristics of investors in futures market. On this basis, a cross-comparison experiment is designed to test the influence degree of the imbalance of order flow on the price, and the robustness of the influence degree is tested under different slice size and transaction volume. The results show that there are more transactions initiated by the seller (buyer) when the contract price increases (falls) in the futures market of our country. However, the volume of transactions initiated by seller (buyer) is not more than that initiated by buyer (seller); Investors tend to follow other traders to initiate co-directional trading when they actively initiate trading, and follow the initiated trading volume is not regular; In contrast, investors are less likely to be disturbed by the trading behavior of other investors when they withdraw the listing order of the price limit list. In addition, it is verified that there is a significant positive correlation between the order flow imbalance and the futures price change. Compared with the transaction volume imbalance index, the order flow imbalance index has a more significant impact on the price, and the model regression has a better fitting coefficient. Further robustness tests show that when the contract is the main contract and there is no all-day unilateral market, the price shock effect of the unbalanced order flow is at different trading volume levels. Different slice sizes have a good level of significance and a higher fitting coefficient.
【學(xué)位授予單位】：哈爾濱工業(yè)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F724.5

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