| 时变流动性深度模型 |
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| 引用本文： | 张晓蓉,徐剑刚,邱世梁.时变流动性深度模型[J].复旦学报(自然科学版),2007,46(2):256-261. |
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| 作者姓名： | 张晓蓉 徐剑刚 邱世梁 |
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| 作者单位： | 复旦大学,管理学院,上海,200433;复旦大学,管理学院,上海,200433;复旦大学,管理学院,上海,200433 |
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| 基金项目： | 国家自然科学基金资助项目(70573025) |
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| 摘 要： | 使用超高频数据,并利用流动性深度指标,研究流动性的动态特征、影响因素以及检验市场微观结构理论.结果支持基于信息不对称下的市场微观结构理论.研究还表明耐心交易可以降低交易成本.
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| 关 键 词： | 流动性 市场深度 价格持续期 |
| 文章编号： | 0427-7104（2007）02-0256-06 |
| 修稿时间： | 2006-05-09 |
Time-Varying Liquidity and Market Depth |
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| ZHANG Xiao-rong,XU Jian-gang,QIU Shi-liang.Time-Varying Liquidity and Market Depth[J].Journal of Fudan University(Natural Science),2007,46(2):256-261. |
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| Authors: | ZHANG Xiao-rong XU Jian-gang QIU Shi-liang |
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| Institution: | School of Management, Fudan University, Shanghai 200433, China |
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| Abstract: | With high frequency data and the market liquidity depth indicator VNET, the dynamic features and the determinative factors of market liquidity are studied, and the market microstructure theories are verified. The results support the asymmetry information theory, and reveal that patient trading can decrease transaction costs for institutional investors. |
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| Keywords: | liquidity market depth price duration |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
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