非对称信息与高频价格变动

高频价格运动对金融市场微观结构具有非常重要的意义。由于高频价格的离散性和不等距变化的特点使得对该类变量建模较为困难,而在理论与实证研究中通常是根据特定的研究目的建立相应的高频价格运动模型。故从金融市场微观结构信息不对称理论出发,结合中国纯限价订单市场的实际情况和对中国市场交易者行为的分析,建立高频价格运动和非对称信息的联合模型,并同时估计和模拟了非对称信息状态和高频价格运动的轨迹。研究发现,知情交易者的比率对交易价格与市场流动性均有显著影响。

Asymmetric Information and High Frequency Price Movement

High frequency price movement is important for the microstructure of financial market.For the discrete distribution and inequality sampling,it's very difficult to model the high frequency price movement.Both theoretical and empirical analyses often build particular models for different purposes.In this paper,we proposes a asymmetric information modeling framework,based on the traders behavior,which provides a explanation for some of characteristics of the pure limit order market like China.Trading intensity,which indicates the asymmetric information,and the high frequency price change are combined into a model,and the asymmetric information impact on price change are simulated.We find the ratio of the informed traders has distinct impact on price and market flow.