发帖
雷达卡
摘要翻译：
我们使用来自深圳证券交易所的超高频数据研究了围绕日内价格大幅变化的订单流的动态。我们发现价格在盘中的下降和上升都有显著的反转，并对价格产生永久性的影响。波动率、不同类型订单的成交量、买卖价差和成交量失衡在极端事件发生前增加，并呈幂律缓慢衰减，形成一个既定的峰值。在积极事件前后，买入市场订单的数量增长快于卖出市场订单，相应的峰值出现早于卖出市场订单，而在消极事件前后，卖出市场订单的数量峰值在幅度和时间上领先于买入市场订单。当订单按照攻击性分为四组时，我们发现订单量和订单数的行为相似，除了买盘数量峰值推迟到订单量峰值后两分钟的限价订单和取消订单，暗示下大额订单的投资者更知情，在价格大幅波动中发挥核心作用。我们还研究了不同类型订单的相对利率，发现买入订单和卖出订单之间以及个人投资者和机构投资者之间相对利率的动态差异。有证据表明，机构的行为与个人非常不同，它们有更积极的战略。综合这些发现，我们得出结论，机构投资者更知情，在推动价格大幅波动方面发挥着更有影响力的作用。
---
英文标题：
《Order flow dynamics around extreme price changes on an emerging stock
market》
---
作者：
Guo-Hua Mu (ECUST), Wei-Xing Zhou (ECUST), Wei Chen (SZSE), Janos
Kertesz (BME)
---
最新提交年份：
2010
---
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
--
一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
--
---
英文摘要：
We study the dynamics of order flows around large intraday price changes using ultra-high-frequency data from the Shenzhen Stock Exchange. We find a significant reversal of price for both intraday price decreases and increases with a permanent price impact. The volatility, the volume of different types of orders, the bid-ask spread, and the volume imbalance increase before the extreme events and decay slowly as a power law, which forms a well-established peak. The volume of buy market orders increases faster and the corresponding peak appears earlier than for sell market orders around positive events, while the volume peak of sell market orders leads buy market orders in the magnitude and time around negative events. When orders are divided into four groups according to their aggressiveness, we find that the behaviors of order volume and order number are similar, except for buy limit orders and canceled orders that the peak of order number postpones two minutes later after the peak of order volume, implying that investors placing large orders are more informed and play a central role in large price fluctuations. We also study the relative rates of different types of orders and find differences in the dynamics of relative rates between buy orders and sell orders and between individual investors and institutional investors. There is evidence showing that institutions behave very differently from individuals and that they have more aggressive strategies. Combing these findings, we conclude that institutional investors are more informed and play a more influential role in driving large price fluctuations.
---
PDF链接：
https://arxiv.org/pdf/1003.0168
京公网安备 11010802022788号
