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对成交指令按成交价和成交量进行分类作为指令提交积极性的指示变量,本文依据上海证券市场的分笔高频交易数据,采用有序probit模型研究市场分笔行情如何影响投资者提交指令的积极性,采取LOG-ACD模型研究分笔行情如何影响成交持续期,并分析分笔行情中影响二者的关键信息因素.实证研究表明,短期报价波动增加、价差减小、与成交发起方相同方向的最优报价深度增加、与成交发起方相反方向的最优报价深度减小,都会降低成交指令属于积极性低类型的概率,提高成交指令属于积极性高类型的概率,即指令提交整体积极性提高,反之则相反;最优报价信息集合为影响指令提交积极性的关键信息因素.短期报价波动增加、价差减小、前三个报价买卖深度的增加均使成交持续期变短,反之则相反;同时,最优报价信息集合和最优报价外信息集合都不是影响成交持续期的关键信息因素.
According to the transaction data of Shanghai stock market, this article uses an orderly probit model to study how market segmentation affects the enthusiasm of investors to submit orders , Using the LOG-ACD model to study how the sub-ticketing affects the duration of the transaction and analyze the key information factors that affect the two in the sub-ticketing market.Experimental studies show that the volatility of the short-term quotation increases, the spread decreases, in the same direction as the originator of the transaction The optimal bidding depth increases and the optimal bidding depth in the opposite direction to the transaction initiators decreases, which will reduce the probability that the order will be of low positivity and increase the probability that the order will be of high positivity, that is, the overall motivation of order submission will increase, and vice versa On the contrary, the optimal set of quotation information is the key information factor that affects the motivation of order submission.With the increase of short-term price fluctuation and the decrease of spread, the increase of transaction depth of the first three quotations shortens the duration of the transaction, on the contrary, on the contrary, None of the quote information set and the best quoted quote information set affect the duration of the deal The key information factor.