中国股票市场订单配售的经验规律

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摘要翻译：
利用从23只深圳证券交易所股票交易的订单流中提取的超高频数据，研究了开盘集合竞价、冷期和连续竞价中订单投放的经验规律。相对对数价格与参考价格在三个时间段内的分布在性质上相同，但在数量上存在差异。买卖双方之间、书内订单与书外订单之间的下单行为是不对称的。另外，连续拍卖中相对价格的条件分布与买卖价差和波动率无关。这些发现对于建立基于订单流的中国股票行为微观实证模型具有重要意义。
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英文标题：
《Empirical regularities of order placement in the Chinese stock market》
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作者：
Gao-Feng Gu (ECUST), Wei Chen (SZSE), Wei-Xing Zhou (ECUST)
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最新提交年份：
2007
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Trading and Market Microstructure        交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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一级分类：Physics        物理学
二级分类：Physics and Society        物理学与社会
分类描述：Structure, dynamics and collective behavior of societies and groups (human or otherwise). Quantitative analysis of social networks and other complex networks. Physics and engineering of infrastructure and systems of broad societal impact (e.g., energy grids, transportation networks).
社会和团体（人类或其他）的结构、动态和集体行为。社会网络和其他复杂网络的定量分析。具有广泛社会影响的基础设施和系统（如能源网、运输网络）的物理和工程。
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英文摘要：
  Using ultra-high-frequency data extracted from the order flows of 23 stocks traded on the Shenzhen Stock Exchange, we study the empirical regularities of order placement in the opening call auction, cool period and continuous auction. The distributions of relative logarithmic prices against reference prices in the three time periods are qualitatively the same with quantitative discrepancies. The order placement behavior is asymmetric between buyers and sellers and between the inside-the-book orders and outside-the-book orders. In addition, the conditional distributions of relative prices in the continuous auction are independent of the bid-ask spread and volatility. These findings are crucial to build an empirical behavioral microscopic model based on order flows for Chinese stocks.
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PDF链接：
https://arxiv.org/pdf/0712.0912

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关键词：中国股票市场 股票市场 股票市 Quantitative distribution 买卖 参考价格 股票 价格 开盘