本文選題：市場微觀結(jié)構(gòu)　切入點：信息結(jié)構(gòu)　出處：《天津大學(xué)》2012年博士論文

【摘要】：信息是投資者制定投資策略的根本依據(jù)，直接影響了金融市場資產(chǎn)價格的發(fā)現(xiàn)過程以及資產(chǎn)的價格行為。對信息的深入研究，是開展證券市場微觀結(jié)構(gòu)理論研究的基石與必經(jīng)之路。基于一個系統(tǒng)性的視角，就信息在不同時間尺度下的多維度結(jié)構(gòu)差異，及其對投資者行為作用機理的區(qū)別與聯(lián)系，本文分別深入的研究了低頻與高頻狀態(tài)下信息結(jié)構(gòu)的測度與信息風險的度量問題。如下為研究的主體內(nèi)容摘要： 中國股票市場日內(nèi)信息結(jié)構(gòu)的測度研究：在日內(nèi)時間維度下，基于信息融入資產(chǎn)價格的非瞬時性，應(yīng)用隱馬爾科夫模型對不可觀測的股票信息狀態(tài)建模，并通過轉(zhuǎn)移概率矩陣刻畫信息狀態(tài)在時間維度上的動態(tài)關(guān)聯(lián)性。通過實證驗證了模型的信息識別能力，且發(fā)現(xiàn)中國股票市場信息效應(yīng)具有聚集性的特點。實證還估計了樣本的信息狀態(tài)與信息強度，進一步的，，通過信息狀態(tài)轉(zhuǎn)移概率矩陣，推斷我國股票市場的信息融入速率。 中國股票市場日內(nèi)高頻信息風險度量研究：基于日內(nèi)信息組成結(jié)構(gòu)的時變特性，推導(dǎo)時變知情交易概率的非參數(shù)計算表達式，并構(gòu)建測度日內(nèi)高頻信息風險的方法。應(yīng)用此方法設(shè)計實證驗證了模型能夠?qū)崟r捕捉日內(nèi)不斷變化的信息風險狀態(tài),且對由有毒信息流引起的資產(chǎn)價格突變具有預(yù)測功能。 中國股票市場日間信息結(jié)構(gòu)的測度研究：在日間的時間頻度下，基于投資者能夠從每日的交易數(shù)據(jù)推斷日間變化的交易類型組成結(jié)構(gòu)的假設(shè)，構(gòu)建了一個允許知情和未知情交易到達率時變且可預(yù)測的GARCH結(jié)構(gòu)信息模型。應(yīng)用該模型設(shè)計實證，研究了中國股票市場投資者學(xué)習市場交易信息并調(diào)整其交易行為的動態(tài)過程。并在此基礎(chǔ)上構(gòu)建日間時變的知情交易概率指標，進一步的研究真實金融市場中信息結(jié)構(gòu)在日間頻度下的運動變化模式。 中國股票市場日間信息結(jié)構(gòu)的判斷與信息風險度量研究：首先，通過將對稱訂單流沖擊引起的交易應(yīng)用于信息模型的構(gòu)建，解決以往模型蘊含訂單數(shù)值特征與市場實際不相符的問題。然后，基于新模型的理論基礎(chǔ)模擬買賣訂單到達數(shù)據(jù)并繪制其頻數(shù)分布圖，據(jù)此判斷個股信息結(jié)構(gòu)的類型與適用的模型。最后，理論分析交易者的日度學(xué)習行為與形成穩(wěn)定信息結(jié)構(gòu)的關(guān)系，闡述低頻狀態(tài)下資產(chǎn)信息風險測度的原理，并應(yīng)用新模型實現(xiàn)對個股信息風險程度的度量。
[Abstract]:Information is the fundamental basis for investors to formulate investment strategies, which directly affects the discovery process of asset prices and the price behavior of assets in financial markets.The further study of information is the cornerstone and only way to carry out the research on the microstructure theory of securities market.Based on a systematic perspective, the difference and relationship between the multi-dimensional structure of information at different time scales and the mechanism of its action on investors' behavior are discussed.In this paper, we study the measurement of information structure and the measurement of information risk in low frequency and high frequency respectively.The following is a summary of the subject of the study:Research on the Measurement of Intra-Day Information structure in Chinese Stock Market: under the dimension of intra-day time, based on the non-instantaneous integration of information into asset prices, the invisible Markov model is used to model the unobservable stock information state.The dynamic correlation of information state in time dimension is described by transition probability matrix.The information recognition ability of the model is verified by empirical analysis, and it is found that the information effect of Chinese stock market has the characteristics of agglomeration.The paper also estimates the information state and the information intensity of the sample, and further, through the information state transition probability matrix, infer the information integration rate of the stock market in our country.Research on intraday high-frequency information risk measurement in Chinese stock market: based on the time-varying characteristics of intraday information structure, the non-parametric expression of time-varying informed trading probability is derived, and a method to measure intraday high-frequency information risk is constructed.By using this method, it is proved that the model can capture the changing information risk state in real time, and it can predict the sudden change of asset price caused by toxic information flow.A study on the Measurement of daytime Information structure in Chinese Stock Market: based on the assumption that investors can infer the composition of daytime trading types from daily trading data,A GARCH structure information model with time-varying and predictable arrival rates of informed and unknown transactions is constructed.By using this model, the dynamic process of investors learning trading information and adjusting their trading behavior in Chinese stock market is studied.On the basis of this, we construct the time-varying probability index of informed transaction between day and day, and further study the movement mode of information structure in the real financial market under the daytime frequency.A study on the judgment of Day Information structure and the Measurement of Information risk in Chinese Stock Market: firstly, the transaction caused by the shock of symmetric order flow is applied to the construction of information model.To solve the problem that the model contains the numerical characteristics of the order and the market reality does not match.Then, based on the theory of the new model, we simulate the arrival data of purchase and sell orders and draw its frequency distribution map, according to which we can judge the type of information structure of individual stock and the applicable model.Finally, the relationship between the daily learning behavior of traders and the formation of stable information structure is analyzed theoretically, and the principle of asset information risk measurement under low frequency is expounded, and the new model is applied to measure the degree of information risk of individual stock.
【學(xué)位授予單位】：天津大學(xué)
【學(xué)位級別】：博士
【學(xué)位授予年份】：2012
【分類號】：F832.51;F224

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本文編號：1706293