Empirical study on effect of market order to liqudity

机译：市场秩序对流动性影响的实证研究

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Liqudity is the important characteristic of stock market. China stock market adopted market orders in 2006. It offered the choice for investors. But it is important to know if it improved the liquidity. This study discusses the methods of measuring liquidity, and presents the empirical study on the effect of the market orders to liquidity. It has been found that liquidity has been improved by adopting the market orders.

机译：液态是股票市场的重要特征。中国股市在2006年采用了市场订单。它为投资者提供了选择。但重要的是要知道它是否改善了流动性。本研究讨论了衡量流动性的方法，并提出了对市场订单流动性效果的实证研究。已发现通过采用市场订单，流动性得到了改善。

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《International Conference on E-Business and E-Government》|2011年||共4页
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作者
Niansong Tu; Jinru Long;
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中图分类 TN915.1-53;
关键词
China stock market; empirical study; liqudity; market orders;

机译：中国股市;实证研究;流动性;市场订单;

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机译：我们在限价订单簿中开发了冰山订单执行的顺序交易模型。 Iceberg-trader可以自由地揭露他的交易意图，或者（部分）屏蔽其他市场参与者的真实订单规模。订单暴露最终会导致市场反应激烈（“市场影响”），导致交易成本上升。另一方面，冰山交易员在隐藏他的意图时面临优先权损失，因为大多数电子限价订单都会惩罚隐藏流动性的使用。因此，冰山商人面临着找到正确权衡的问题。我们的模型为限额订单市场中的冰山交易者提供了最佳的风险敞口策略。特别是，我们提供了一系列分析性陈述，这些陈述与最近关于交易者暴露策略决定因素的实证研究结果一致。在此框架下，我们还研究了市场影响以及限价订单的市场影响。我们为来自美国标准普尔500指数的一系列高科技股票提供最佳曝光配置文件，以及它们如何随着本书的规模扩展。我们最终根据极限订单测试了冰山的表现，发现冰山订单可以显着提升贸易业绩高达60％。

Empirical study on effect of market order to liqudity

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