一个证券价格波动性交易条件模型

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摘要翻译：
在分析交易量-价格概率波动分布的基础上，从市场心理行为的角度建立了价格波动和收益信息的理论交易条件模型，用交易量概率来描述价格波动的不确定性和强度。将该模型应用于中国股票市场高频数据检验，主要发现：1）交易条件强度变化与平均收益率之间存在显著的正相关关系；（2）在泡沫破裂前后两个时间段内，尽管存在正相关关系，但缺乏显着性；（3）在牛市期间上证综指上涨的时间段内，表现出显着的负相关关系，我们的模型和研究结果可以同时检验处置效应和羊群行为，解释股票市场的过度交易（成交量）和其他异常现象。
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英文标题：
《A Security Price Volatile Trading Conditioning Model》
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作者：
Leilei Shi (1), Yiwen Wang (2), Ding Chen (3), Liyan Han (2), Yan Piao
  and Chengling Gou (4) ((1) Complex System Research Group, Department of
  Modern Physics University of Science and Technology of China (2) Department
  of Finance, Beijing University of Aeronautics and Astronautics (3) Harvest
  Fund Management Co. Ltd. (4) Department of Physics, Beijing University of
  Aeronautics and Astronautics)
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最新提交年份：
2010
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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：Quantitative Finance        数量金融学
二级分类：General Finance        一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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英文摘要：
  We develop a theoretical trading conditioning model subject to price volatility and return information in terms of market psychological behavior, based on analytical transaction volume-price probability wave distributions in which we use transaction volume probability to describe price volatility uncertainty and intensity. Applying the model to high frequent data test in China stock market, we have main findings as follows: 1) there is, in general, significant positive correlation between the rate of mean return and that of change in trading conditioning intensity; 2) it lacks significance in spite of positive correlation in two time intervals right before and just after bubble crashes; and 3) it shows, particularly, significant negative correlation in a time interval when SSE Composite Index is rising during bull market. Our model and findings can test both disposition effect and herd behavior simultaneously, and explain excessive trading (volume) and other anomalies in stock market.
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PDF链接：
https://arxiv.org/pdf/1001.0656

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关键词：条件模型 价格波动 波动性 性交易 Quantitative return 羊群 probability positive conditioning