中国股票市场交易包分析

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摘要翻译：
本文对中国股票市场上23只股票的连续买卖序列构成的交易包进行了实证研究。研究了交易包的执行时间、交易次数和总交易量的概率分布，并分析了它们之间可能存在的比例关系。观察到机构投资者和个人投资者之间的数量差异。研究了交易包的交易概况，揭示了大宗交易对当日交易量和交易时间的偏好，两类投资者的不同概况表明机构可能比个人更知情。我们进一步分析了整个贸易包和贸易包内单个交易的价格影响。我们发现，贸易包的价格影响在整个执行期内是不可忽略的，它可能与总交易量呈幂律关系。交易包内的交易对价格的影响表现出一个U形的轮廓，关于一天中的时间$T$，也表现出一个幂律依赖于他们的交易量。机构在一揽子交易中的交易量对当前收益的影响更大，但与个人相比，以下价格逆转持续的时间相对较短。
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英文标题：
《Analysis of trade packages in Chinese stock market》
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作者：
Fei Ren and Wei-Xing Zhou
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最新提交年份：
2011
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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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英文摘要：
  This paper conducts an empirically study on the trade package composed of a sequence of consecutive purchases or sales of 23 stocks in Chinese stock market. We investigate the probability distributions of the execution time, the number of trades and the total trading volume of trade packages, and analyze the possible scaling relations between them. Quantitative differences are observed between the institutional and individual investors. The trading profile of trade packages is investigated to reveal the preference of large trades on trading volumes and transaction time of the day, and the different profiles of two types of investors imply that institutions may be more informed than individuals. We further analyze the price impacts of both the entire trade packages and the individual transactions inside trade packages. We find the price impact of trade packages is nonnegligible over the period of the execution time and it may have a power-law relation with the total trading volume. The price impact of the transactions inside trade packages displays a U-shaped profile with respect to the time $t$ of the day, and also shows a power-law dependence on their trading volumes. The trading volumes of the transactions inside trade packages made by institutions have a stronger impact on current returns, but the following price reversals persist over a relatively shorter horizon in comparison with those by individuals.
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PDF链接：
https://arxiv.org/pdf/1103.1526

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关键词：中国股票市场 股票市场 股票市 Transactions Quantitative total 交易 分析 execution impact