欢迎您！东篱公司
退出
-
申报数据库
-
立项数据库
-
成果数据库
-
项目获奖数据库
中文摘要：
从理论上分析了指令驱动市场均衡价格的形成过程,发现了实时交易过程中交易频率对资产价格行为的直接影响,采用上海股市实时分笔交易数据对理论结论进行实证检验.实证结果支持了理论模型中交易频率是影响资产价格波动性的判断,并发现在实时交易过程中交易频率确实是一个市场信息流动表征信号.
英文摘要：
Process of equilibrium price forming in the order-driven stock market is analyzed in theory and theoretical research shows that there is a direction relationship between trading frequency and volatility of price behavior. Tick by tick data in Shanghai stock market is utilized to verify theoretical model. The empirical results conform that the judgment which trading frequency affects asset price behavior volatility is correct and trading frequency is a suitable signal of information flow during real-time transaction.
同期刊论文项目
同项目期刊论文
位置：