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The Impact of Securities Margin Trading on the Stock Market Volatility and Liquidity —— Based on the Empirical Results of Shanghai and Shenzhen Markets

机译：证券保证金对股市波动与流动性的影响 - 基于上海和深圳市场的实证结果

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Liru Bai; Yiming Li;
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1. THE IMPACTS OF INDIVIDUAL DAY TRADING STRATEGIES ON MARKET LIQUIDITY AND VOLATILITY: EVIDENCE FROM THE TAIWAN INDEX FUTURES MARKET [J] . Chou Robin K., Wang George H. K., Wang Yun-Yi The journal of futures markets . 2015,第5期

机译：个人即日交易策略对市场流动性和波动性的影响：来自台湾指数期货市场的证据
2. Short-selling, margin-trading, and stock liquidity: Evidence from the Chinese stock markets [J] . Ye Qing, Zhou Shengjie, Zhang Jie International Review of Financial Analysis . 2020,第Octa期

机译：短销售，边际交易和股票流动性：来自中国股市的证据
3. Company Characteristictrading Activity and Adverse Selection Costs Empirical Evidences from the Shanghai and Shenzhen Stock Markets [J] . Guo Qiuping, Tian Cunzhi, Xia ZiXiang Information Technology Journal . 2013,第14期

机译：公司特色的活动和不利选择从上海和深圳股市的实证证明
4. The impact of margin trading on the liquidity and volatility of the securities market based on the empirical research of the Shanghai security market [C] . Yang Deyong, Wu Qiong 2011 International Conference on Business Management and Electronic Information . 2011

机译：基于上海证券市场的实证研究保证金交易对证券市场流动性和波动性的影响
5. The Impacts of Margin Trading on Rate of Return and Volatility in the Stock Market: A Study Using the SVAR Model and Panel Regressions =融资对股价收益与波动的影响特征研究——基于SVAR模型与面板模型的实证分析 [D] . Shi, Wenqing. 2018

机译：The Impacts of Margin Trading on Rate of Return and Volatility in the Stock Market: A Study Using the SVAR Model and Panel Regressions =融资对股价收益与波动的影响特征研究——基于SVAR模型与面板模型的实证分析
6. Nonlinear relationship between money market rate and stock market liquidity in China: A multifractal analysis [O] . Yihong Sun, Xuemei Yuan, J E. Trinidad Segovia, 2021

机译：中国货币市场率与股票市场流动性的非线性关系：多重分析
7. We develop a sequential trade model of Iceberg order execution in a limit order book. The Iceberg-trader has the freedom to expose his trading intentions or (partially) shield the true order size against other market participants. Order exposure can cause drastic market reactions (“market impact”) in the end leading to higher transaction costs. On the other hand the Iceberg trader faces a loss-in-priority when he hides his intentions, as most electronic limit order books penalize the usage of hidden liquidity. Thus the Iceberg-trader is faced with the problem to find the right trade-off. Our model provides optimal exposure strategies for Iceberg traders in limit order book markets. In particular, we provide a range of analytical statements that are in line with recent empirical findings on the determinants of trader’s exposure strategies. In this framework, we also study the market impact also market impact of limit orders. We provide optimal exposure profiles for a range of hightech stocks from the US SP500 and how they scale with the state-of-the-book. We finally test the Iceberg’s performance against the limit orders and find that Iceberg orders can significantly enhance trade performance by up to 60. [O] . Gökhan Cebiro˜glu, Ulrich Horst 100

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％。

The Impact of Securities Margin Trading on the Stock Market Volatility and Liquidity —— Based on the Empirical Results of Shanghai and Shenzhen Markets

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