基于噪声交易模型构建了价格冲击模型,研究了噪声交易者数量变动对于股票流动性的影响,发现噪声交易者的数量越大股票流动性越差。数值模拟结果与理论预测是吻合的。
Based on the model of noise trade, a new price-impact model is derived, and the impact of noise trader quantity change on the stocks liquidity is studied. It is proved that the greater the amount of noise trader, the lower the stocks liquidity. The numerical simulation result is in agreement with the theory prediction.