| 限价订单信息含量分布：理论模型及中国市场实证研究 |
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| 引用本文： | 马丹.限价订单信息含量分布：理论模型及中国市场实证研究[J].统计与信息论坛,2008,23(11):59-64. |
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| 作者姓名： | 马丹 |
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| 作者单位： | 西南财经大学,统计学院,四川,成都,610074 |
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| 基金项目： | 教育部人文社会科学研究项目资助《指令驱动市场非对称信息风险的统计研究》 |
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| 摘 要： | 投资者订单决策过程是研究不完全市场信息释放的逻辑起点。订单的信息分布对市场结构设计有重要的作用。构建非对称环境中投资者订单选择策略模型,并利用高频误差修正模型对理论研究结论进行检验。研究发现中国证券市场订单具有递减信息分布。
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| 关 键 词： | 限价订单 非对称信息 交易间隔 信息份额 |
The Information Distribution of Limit Order Market: Theoretical Model and Empirical Study in China |
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| MA Dan.The Information Distribution of Limit Order Market: Theoretical Model and Empirical Study in China[J].Statistics & Information Tribune,2008,23(11):59-64. |
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| Authors: | MA Dan |
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| Institution: | MA Dan (School of Statistics, Southwestern University of Finance and Economics Chengdu 610074,China) |
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| Abstract: | Order submission strategy is the logistic beginning to research information release in the imperfect market.The distribution of order information is important for market design.This thesis has proposed a model for the investor's strategy of order submission in the limit order market.By the high-frequency VECM model with China's data,the result of theoretical model has been supported.The research reveals the descending distribution of information content in limit order. |
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| Keywords: | limit order asymmetric information trading duration information share |
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