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中文摘要：
针对中国股票市场特点将卖空限制因素引入动态EKOP模型，在此基础上构建交易到达率更新模型刻画知情和非知情交易到达率的日内动态模式．进一步采用上证180指数中八只成分股的2010年高频分笔数据实证分析订单流新息对两类交易到达率的影响，并探究不同类型交易者对新息的反应及消化过程。结果表明投资者会根据前期交易到达率和订单数据推测当期交易到达率情况，并且订单流新息能够对交易到达率产生持续性影响，证明了交易到达率的可预测性。
英文摘要：
According to the characteristic of Chinese markets, we introduce the factor of short-sale constraint into the dynamic EKOP model, and construct the trade arrival rate updating model to depict the intraday dynamic of informed and uninformed trade arrival rate. Moreover we investigate the impact of order flow innovations on the informed and uninformed trade arrival rate, and explore how different kinds of traders make response to the innovations and digest them by using the high-frequency tick by tick transaction data of eight component stocks from SSE 180 financial index in the year 2010. The results show that investors could speculate current period trade arrival rate on the basis of previous arrival rate and order data. In addition, order flow innovations have persistent influence on the trade arrival rate, which prove that the trade arrival rate is predictable.
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