本文選題：市場微觀結(jié)構(gòu) + 交易信息�。� 參考：《天津大學(xué)》2013年博士論文

【摘要】：信息是投資者制定交易策略的根本依據(jù)作為信息的微觀結(jié)構(gòu)載體，訂單流蘊含著關(guān)于投資者的信息量收益預(yù)期交易偏好等全部信息，是投資者對資產(chǎn)價值判斷的集中體現(xiàn)，直接影響著金融市場資產(chǎn)的價格發(fā)現(xiàn)過程因此，分析訂單中的微觀交易信息對價格行為的作用模式，對于揭示價格發(fā)現(xiàn)機理具有重要的意義本文即從訂單流的角度出發(fā)，基于市場微觀結(jié)構(gòu)理論和信息探測理論，探究訂單流所包含的日內(nèi)交易信息的結(jié)構(gòu)特征，以及其對資產(chǎn)價格行為的影響和在市場風(fēng)險管理中應(yīng)用具體內(nèi)容主要包括以下方面 第一部分，，訂單到達率更新及新息消化過程研究首先，在考慮中國股市交易機制存在賣空限制的特點的基礎(chǔ)上，將賣空限制因素引入具有GARCH結(jié)構(gòu)的訂單達到率更新模型，提高模型在中國股市中的適用性然后，基于訂單流的日內(nèi)周期特征將模型推廣到日內(nèi)時間維度，考察股市中的知情和非知情交易者在日內(nèi)水平下學(xué)習(xí)訂單信息并調(diào)整交易行為的過程，進一步探究非預(yù)期訂單到達新息對投資者交易到達率的多期沖擊特點，由此對日內(nèi)訂單流的信息結(jié)構(gòu)進行全面系統(tǒng)的分析 第二部分，日內(nèi)交易信息對資產(chǎn)價格行為的影響研究分別考察了日內(nèi)信息對市場流動性和價格運動的影響 在對流動性的影響方面，首先，結(jié)合EKOP模型和交易到達率更新模型對日內(nèi)時間水平的信息非對稱水平進行實時測度，分析由已成交訂單流所揭示的市場信息效率對流動性的影響然后，從限價訂單簿的角度出發(fā)，基于價格波動是信息博弈的體現(xiàn)，以報價波動表示報價信息，利用動態(tài)面板模型對各個委托檔位上的日內(nèi)報價信息對流動性的影響進行研究，從中反映市場投資者的訂單提交行為特征 在對價格運動的影響方面，以每筆成交訂單的基本構(gòu)成，即交易的量方向和持續(xù)期表示微觀交易信息，構(gòu)建三狀態(tài)非對稱ACD模型建立微觀交易信息與價格運動的聯(lián)系，利用超高頻交易數(shù)據(jù)實證研究微觀交易信息對連續(xù)價格運動的動態(tài)影響模式進一步，由價格分解模型給出瞬時價格波動關(guān)于微觀交易信息的解析式，通過參數(shù)自舉法模擬日內(nèi)的瞬時波動路徑，進而探究微觀交易信息對價格瞬時波動的沖擊模式由此從微觀交易層面揭示實時訂單信息對價格運動過程的動態(tài)影響 第三部分，考慮收益率非對稱結(jié)構(gòu)的風(fēng)險管理研究基于中國股市收益率的有偏分布及價格波動的杠桿效應(yīng)特點，采用日內(nèi)高頻交易信息并結(jié)合中國股市的賣空限制特點對收益率的非對稱結(jié)構(gòu)進行更加精確的刻畫，以此構(gòu)建符合中國股市交易機制及收益率非對稱結(jié)構(gòu)特點的VaR和ES風(fēng)險管理模型，豐富和完善金融風(fēng)險管理的方法
[Abstract]:Information is the fundamental basis for investors to formulate trading strategies as the microstructural carrier of information, order flow contains all the information about investors' information, income expectation, trade preference and so on. It is the concentrated embodiment of investors' judgment on asset value. Therefore, it is of great significance to analyze the role of micro transaction information in order to reveal the mechanism of price discovery from the perspective of order flow. Based on the market microstructure theory and the information detection theory, this paper explores the structural characteristics of the intraday transaction information contained in the order flow. And its influence on asset price behavior and its application in market risk management mainly include the following aspects: first, the research of order arrival rate updating and innovation digestion process, On the basis of considering the characteristics of short selling restriction in Chinese stock market trading mechanism, the short selling restriction factor is introduced into the order achievement rate update model with GARCH structure to improve the applicability of the model in Chinese stock market. Based on the intraday cycle characteristics of order flow, the model is extended to the intraday time dimension to investigate the process of informed and uninformed traders learning order information and adjusting their trading behavior at the intraday level in the stock market. Further explore the characteristics of the impact of unexpected order arrival innovation on investors' trading arrival rate, and then make a comprehensive and systematic analysis of the information structure of intraday order flow. The effects of intraday trading information on asset price behavior; first of all, the effects of intraday information on market liquidity and price movements. Combined with EKOP model and transaction arrival rate update model, the information asymmetry level of intra-day time level is measured in real time, and the effect of market information efficiency on liquidity, which is revealed by order flow, is analyzed. From the point of view of price limit order book, based on the fact that price fluctuation is the embodiment of information game, the paper uses dynamic panel model to study the effect of intra-day quotation information on liquidity of each commission. Reflecting the behavior characteristics of order submission of market investors in terms of its influence on price movement, the basic composition of each transaction order, namely, the quantity direction and duration of the transaction, is used to represent the micro trading information. A three-state asymmetric ACD model is constructed to establish the relationship between micro transaction information and price movement, and the dynamic influence model of micro transaction information on continuous price movement is further studied by using UHF transaction data. Based on the price decomposition model, the analytical formula of the micro trading information of the instantaneous price fluctuation is given, and the instantaneous fluctuation path in the day is simulated by the parameter bootstrap method. Then it explores the impact mode of micro transaction information on the instantaneous fluctuation of price. The third part reveals the dynamic influence of real time order information on the price movement process from the micro transaction level. Risk Management based on the skewed Distribution of returns and the leverage effect of Price volatility in Chinese Stock Market The asymmetric structure of yield is described more accurately by using high-frequency intraday trading information and the characteristics of short selling restriction in Chinese stock market. In this way, the VaR and es risk management models, which accord with the trading mechanism of Chinese stock market and the asymmetric structure of return rate, are constructed to enrich and perfect the methods of financial risk management.
【學(xué)位授予單位】：天津大學(xué)
【學(xué)位級別】：博士
【學(xué)位授予年份】：2013
【分類號】：F832.51

【參考文獻】

相關(guān)期刊論文 前8條

1 徐正國,張世英;調(diào)整"已實現(xiàn)"波動率與GARCH及SV模型對波動的預(yù)測能力的比較研究[J];系統(tǒng)工程;2004年08期

2 邵錫棟;殷煉乾;;基于實現(xiàn)極差和實現(xiàn)波動率的中國金融市場風(fēng)險測度研究[J];金融研究;2008年06期

3 房曉怡,王浣塵;實際波動率—一種更有效的波動率估計方法[J];技術(shù)經(jīng)濟與管理研究;2003年02期

4 楊朝軍,孫培源,施東暉;微觀結(jié)構(gòu)、市場深度與非對稱信息:對上海股市日內(nèi)流動性模式的一個解釋[J];世界經(jīng)濟;2002年11期

5 徐正國,張世英;高頻時間序列的改進“已實現(xiàn)”波動特性與建模[J];系統(tǒng)工程學(xué)報;2005年04期

6 徐正國;張世英;;多維高頻數(shù)據(jù)的“已實現(xiàn)”波動建模研究[J];系統(tǒng)工程學(xué)報;2006年01期

7 穆啟國,吳沖鋒,劉海龍;深圳證券交易所買賣價差的構(gòu)成分析[J];系統(tǒng)工程理論方法應(yīng)用;2004年03期

8 魏宇;;有偏胖尾分布下的金融市場風(fēng)險測度方法[J];系統(tǒng)管理學(xué)報;2007年03期

本文編號：2100748