限价指令场中连续双向拍卖机制下的短期价格行为及交易量分析.docVIP

Analysis of Short-term Price Behavior and Trading Volume under Continuous Double Auction Mechanism in Limit Order Markets* Bo Liu School of Management University of Electronic Science and Technology of China Chengdu 610054, China Tel: (+86Email: Richard.Lau@163.com Yong Zeng School of Management University of Electronic Science and Technology of China Chengdu 610054, China Tel: (+86)028Email: zengy@ This Version: February, 2005 限价指令市场中连续双向拍卖机制下的短期价格行为及交易量分析 刘 波 电子科技大学管理学院 成都 610054 电话:Email: Richard.Lau@163.com 曾 勇 电子科技大学管理学院 成都 610054 电话: 028Email: zengy@  限价指令市场中连续双向拍卖机制下的短期价格行为及交易量分析 摘 要：本文建立了描述限价指令市场中连续双向拍卖交易机制下短期价格和交易量动态变化的理论模型。通过对该机制下的几个特征变量包括最佳（高）买价、最佳（低）卖价、买卖价差、成交价格、成交概率的分析揭示了连续双向拍卖交易机制下的短期价格行为，并着重探讨了其均衡性质包括成交价格所收敛到的竞争均衡及达到均衡的时间。研究结果较好的印证了连续双向拍卖交易机制能快速收敛到竞争均衡从而产生很高的价格发现效率的相关结论。同时，通过基于泊松过程的指令流建模考察了连续双向拍卖交易机制下买卖单边及总的累积交易量的形成过程及其统计性质（均值、方差及实现值）,并对这三个交易量的各影响因素进行了相应的比较静态分析和数值仿真。 关键词：金融市场微观结构；连续双向拍卖；限价指令簿；短期价格行为；交易量；竞争均衡；泊松过程；仿真 Analysis of Short-term Price Behavior and Trading Volume under Continuous Double Auction Mechanism in Limit Order Markets Abstract In this paper, we establish a theoretical model to describe the dynamics of the short-term price and the trading volume under continuous double auction mechanism in limit order markets. By the analysis of some relevant characteristic variables including the best (highest) bid, best (lowest) ask, bid-ask spread, transaction price, transaction probability, we reveal the short-term price behavior under continuous double auction mechanism, and we emphasize the discussion of its equilibrium properties including the competitive equilibrium it converges to and corresponding elapsed time. The results corroborate the relevant conclusions of which continuous double auction can converge rapidly to the competitive equilibrium and then produce high efficiency of price discovery. Additionally, we examine the formation process and statistical properties (including the mean, varia