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  本文關鍵詞： 微觀市場結構 VPIN 突發(fā)事件 高頻交易　出處：《天津大學》2014年碩士論文　論文類型：學位論文

【摘要】：近年來金融市場風起云涌,突發(fā)事件和極端情況層出不窮,這給金融市場的穩(wěn)定帶來了極大威脅。與此同時,市場微觀結構理論發(fā)展十分迅速,這為從微觀的角度來研究極端條件下交易者行為提供了可能性。從某種程度上來講,可以說信息是決定交易者行為的主要因素,投資者根據(jù)掌握的信息進行投資和交易,掌握信息的準確性與完整性對投資所取得的效果有著深刻影響。然而信息的88-不對稱性導致市場交易雙方的利益失衡,論文以此為基礎,對我國股票市場信息交易進行了動態(tài)刻畫,研究了股票信息交易概率在市場突發(fā)條件下的動態(tài)變化過程。本文的研究分為以下四個部分,具體研究內容與所得結論如下:首先,以光大“烏龍指”事件為研究主體,探討了信息交易概率與股票價格之間的關系,發(fā)現(xiàn)信息交易概率的增大伴隨著股票的劇烈波動,雖然VPIN模型不能對此類非信息事件的發(fā)生做出預測,但是能夠對股票價格趨于平緩進行提前判斷。其次,根據(jù)中國股票市場的交易數(shù)據(jù),探討了VPIN度量值的影響因素,并分別討論了這些因素對VPIN度量的穩(wěn)健性的影響。結果表明,在現(xiàn)有條件下對VPIN的估算具有一定的穩(wěn)健性。再次,研究了VPIN與未來股票價格波動之間的關系,研究表明,在特定的參數(shù)下VPIN值與未來股票價格的波動表現(xiàn)出較為明顯的正相關性,這意味著,VPIN值越高,流動風險越大,未來股票價格的不可預測性越高。最后,以一般的股票漲停事件為研究對象,研究了股票漲停前以及漲停期間信息交易概率的統(tǒng)計特征。研究結果表明,在股票發(fā)生漲停前,信息交易概率會在個別交易日或者連續(xù)幾個交易日內呈現(xiàn)出異常升高的現(xiàn)象,而在漲停期間,VPIN值同樣處于很高的水平,這一研究結果進一步證實了VPIN對未來股票價格的異常波動會起到有效的預警作用。本文突破性的將VPIN這一模型應用于中國股票市場的微觀結構研究之中,發(fā)現(xiàn)在極端條件下VPIN與股票價格之間存在著密切關系,有效利用此模型能夠促進投資者的理性行為,同時也為監(jiān)管者提供了一種有效的風險管理手段。
[Abstract]:In recent years, the financial market is surging, sudden events and extreme situations emerge in endlessly, which has brought great threat to the stability of the financial market. At the same time, the theory of market microstructure has developed very rapidly. This provides the possibility to study the behavior of traders in extreme conditions from a micro perspective. To some extent, information is the main determinant of traders' behavior, and investors invest and trade according to the information they have at their disposal. Mastering the accuracy and completeness of information has a profound impact on the effect of investment. However, the 88-asymmetry of information leads to the imbalance of the interests of both sides of the market. In this paper, the dynamic characteristics of information trading in Chinese stock market are described, and the dynamic process of information trading probability under sudden market conditions is studied. The research in this paper is divided into the following four parts. The specific research contents and conclusions are as follows: first, Based on the "Oolong finger" event of Everbright University, this paper discusses the relationship between the information trading probability and the stock price, and finds that the increase of the information transaction probability is accompanied by the sharp fluctuation of the stock. Although the VPIN model can not predict the occurrence of this kind of non-information event, it can judge the stock price in advance. Secondly, according to the trading data of Chinese stock market, the influencing factors of VPIN measure are discussed. The effects of these factors on the robustness of VPIN metric are discussed respectively. The results show that the estimation of VPIN is robust under existing conditions. Thirdly, the relationship between VPIN and stock price volatility in the future is studied. Under certain parameters, the VPIN value is positively correlated with the future stock price fluctuation, which means that the higher the VPIN value, the greater the liquidity risk and the higher the unpredictability of the future stock price. The statistical characteristics of the information trading probability before and during the stock trading limit are studied with the general stock fluctuation event as the research object. The results show that before the stock price limit occurs, the statistical characteristics of the information trading probability during the stock trading limit are studied. The probability of information trading will show an abnormal rise in individual trading days or several consecutive trading days, and the VPIN value will also be at a very high level during the trading limit. The results of this study further confirm that VPIN will play an effective and early warning role in the future abnormal volatility of stock prices. This paper applies the VPIN model to the study of the microstructure of Chinese stock market. It is found that there is a close relationship between VPIN and stock price under extreme conditions. The effective use of this model can promote the rational behavior of investors and provide an effective risk management method for regulators.
【學位授予單位】：天津大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F832.51

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本文編號：1521281