信息异质环境中基于订单流的汇率行为描述与分析-金融学专业论文.docxVIP

硕士学位论文外汇市场间订单流相互影响模型··· ··············· ········· ·················· ···……模型的构建········································································… …第章信息异质环境下的汇率行为描述··········································样本的选取…………········································································信息冲击对外汇市场异质环境的影响… …·······································信息估计结果的分析···················································……第章实证研究结果及其分析……······················································样本的处理……········································································变量的单位根检验……·················································基于订单流变化对汇率波动的分析……··········································组合漂移模型的应用····················································……外汇市场间订单流变化对一国汇率的影响·································……改进后的组合漂移模型预测结果分析及比较······························……结……··························· ············ ········· ········· ·································……论参考文献····················································································致……········· ·················································································……谢附录作者攻读学位期间参与的课题和发表的论文······························户夕摘要，汇率理论是国际金融理论的核心其涉及的问题极为复杂自世纪年代。，，初期浮动汇率制度取代固定汇率制以来浮动汇率制度下剧烈波动的汇率不仅影，响到微观主体的利益而且关系到国民经济的内外均衡汇率的决定以及影响汇。，率变动的因素一直是国际金融学者们研究的热点问题现代汇率理论的特点是给，汇率决定基础以可能的解释然而在评价人民币汇率中短期走势是否合理时遭，遇到和于年提出的汇率理论失真理论的难题其体现在宏观经济，变量在实证分析中无法说明现有的汇率变化也没有很好的理论模型经得起实证。，。检验鉴于宏观汇率模型不能有效解释实际汇率的变化近年来经济学家将研究，的注意力转向市场参与者的行为和市场微观结构即金融市场微观结构理论它。，提出在非有效市场的前提下分析关于资产价格及其收益形成的一套崭新的理论，。本文将采用金融市场微观结构理论观点从外汇交易订单流着手研究影响汇率，中短期波动的动因从而对汇率行为进行描述与预测，、，本文首先在第章介绍了研究背景及选题意义并对该领域具有代表性的观。点进行了综述第章回顾了具有代表性的传统三大汇率理论的产生背景特征，并总结了传统汇率行为描述理论的不足为此探讨寻求新的研究方法和方向接，着评价了该领域研究中新起的金融市场微观结构理论并详细讨论了外汇市场微。观理论中涉及的基本概念及特点第章对信息异质环境的分析方法以及引入订。，单流因素的组合漂移模型的具体解决办法进行了系统的阐述第章采用卜，。《刃系统的外汇交易订单流数据引入信息分散下的信息异质货币均衡模型研，究了样本期的信息环境通过估计的信息发现了市场的信息异质现象第章对，信息异质环境下的交易数据通过市场间订单流影响以及组合漂移模型分析提出，了引入银行市场间订单流技术后改进的组合漂移模型能更好的提高模型的准确。，性最后通过样本外预测与传统随机游走模型预测结果进行比较发现本文的模。型预测效果要优于随机游走实证结果说明基于外汇交易订单流对汇率行为的分，析能很好地