限价订单簿的形成、特征及其影响的实证研究
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摘要
世界上各证券交易所的主要差异性之一,即为流动性的来源。在报价驱动市场(quote driven market),是由做市商(market maker)提供流动性。而在订单驱动市场(order driven market),由限价订单簿上的订单提供流动性。在混合型市场(hybrid market),诸如纽约证券交易所(New York Stock Exchange, NYSE),则由指定专家(specialist)与限价订单一同扮演这个角色。一直以来,市场微观结构相关的理论与实证文献主要专注于研究报价驱动市场的相关议题,关于订单驱动交易机制下的价格发现与确定、流动性提供及投资者下单策略的理论与实证研究却相对较少。有鉴于此,本文致力于研究纯订单驱动市场下限价订单簿的形成、特征及其影响。
本文研究的逻辑脉络如下：以限价订单簿为主线,首先以Sandas (2001)的限价订单簿量价关系模型为基础,运用数值模拟及实证方法研究限价订单簿的形成；然后,对限价订单簿的特征进行实证分析,找出其内在的特征和规律性。最后,研究限价订单簿的影响,包括对价格发现的影响、流动性提供的影响、下单策略的影响。
本文采用上海证券交易所level-2行情数据、证券交易的高频数据和证券营业厅投资者账户数据系统地研究了限价订单簿的形成、特征及其影响。论文主要工作结论如下：
(1)本文实证发现影响买卖价差的主要影响因素是订单处理成本和公共信息,逆向选择成本非常小,而且买卖价差呈现出“L”型的日内变化特征；交易活跃度呈现出“U”型的日内变化特征；限价订单簿为严格凹的；交易量只占全部流动性供给的一小部分,还有更多的交易意愿反映在限价委托单簿中,从而对限价订单簿的研究具有重要意义。
(2)最优限价订单的贡献度最大,在价格发现中提供了63.82%的信息份额；最近成交价的贡献度为14.76%；次优限价订单有助于价格发现,其贡献度为21.43%；次优限价订单的信息含量随订单主动性的下降而递减；随着交易活跃度的下降,投资者更倾向于提交限价订单,从而导致次优限价订单包含更多信息价值；次优限价订单的信息含量随公司规模和Beta系数的上升而单调下降。
(3)限价订单簿的不平衡导致暂时性波动,进而改变订单流的结构,从而影响订单簿的深度；当限价卖(买)单不足而引起上行(下行)波动时,潜在卖方(买方)提交限价卖(买)单,而不是市价卖(买)单。
(4)买卖价差、波动率和收益率对投资者的下单策略较为显著,而订单不平衡对投资者下单策略影响较弱；个人投资者为流动性提供者,其在制定下单策略时主要使用第1档的订单簿信息；当买卖价差扩大时,投资者对已提交的订单进行撤消的概率将上升,进行修改的概率将下降,同时,随着波动率或者收益率的增加,撤消订单的概率将下降,但修改订单的概率将增加。
The source of liquidity differs from each other among the stock exchanges over the world. Liquidity is provided by the market maker in the quote driven market, and by the orders of limit order book in the order driven market, and by the designated specialist along with the limit orders in the hybrid market such as New York Stock Exchange. It has been a long history that the theories and empirical literatures on market microstructure focus mainly on the quote driven market, however rarely the theories and empirical literatures about price discovery, liquidity provision, and Order Placement Strategies on the order driven market. In view of this, this paper devotes to research on the formation, features, and influence of the limit order book in the purely order driven market.
The logic of this paper is as follow:firstly, we apply the simulation method to study the limit order book's formation based on the model about the relationship between the order book's volume and price advocated by Sandas(2001), secondly, we study on the features of China's limit order book. finally, we study the influence of the limit order book, including which impact on the on price discovery, liquidity provision, and Order Placement Strategies.
In a word, this paper study the formation, features, and influence of the limit order book from the Shanghai Stock Exchange's level-2 market data, high-frequency data, and the investor's account data. Its work and corresponding conclusions would be summarized as follows:
1. We have found that of the main factors affecting bid-ask spread is the order processing costs and public information, adverse selection costs are very small, and the bid-ask spread characteristic as "L" shape of day variation; Active trading characteristic as "U" shape of day variation; The limit order book is strictly concave. It's showed that the trading volume accounted for only a small part of the supply, and investors'main trading demand could be reflected in the limit order book, and thus the research on the limit order book is of great significance.
2.The optimal limit order is the one whose contribution is the largest in the price discovery, which accounts for 63.82% share, and the recent dealt limit order 14.76% share,the second-best limit order 21.43%.As for the second-best limit order, its information decreases with the order's initiative descending as well as the increase of the company size and the Beta coefficients, and contains more valuable information when the investors tend to submit the limit orders in light with the trading activity degree's decline.
3. The imbalance of Limit order book causes the transitory volatility, and then change the structure of order flow, thus affecting the depth of limit order book; When transitory volatility arises from the ask (bid) side, investors will submit more limit sell (buy) orders than market sell (buy) orders.
4. The Bid-ask spread, volatility and returns impact on investors'Order Placement Strategies, but the imbalance of the limit order is weak; Individual investors are the liquidity provider, where place orders based on the top of the book; when the bid-ask spread to expand, investors have been submitted orders will increase the probability of order cancellations, but decrease the probability of order amendments. when the volatility or returns increasing, the probability of order cancellations will decline, but decrease the probability of order amendments increase.
本文研究的逻辑脉络如下：以限价订单簿为主线,首先以Sandas (2001)的限价订单簿量价关系模型为基础,运用数值模拟及实证方法研究限价订单簿的形成；然后,对限价订单簿的特征进行实证分析,找出其内在的特征和规律性。最后,研究限价订单簿的影响,包括对价格发现的影响、流动性提供的影响、下单策略的影响。
本文采用上海证券交易所level-2行情数据、证券交易的高频数据和证券营业厅投资者账户数据系统地研究了限价订单簿的形成、特征及其影响。论文主要工作结论如下：
(1)本文实证发现影响买卖价差的主要影响因素是订单处理成本和公共信息,逆向选择成本非常小,而且买卖价差呈现出“L”型的日内变化特征；交易活跃度呈现出“U”型的日内变化特征；限价订单簿为严格凹的；交易量只占全部流动性供给的一小部分,还有更多的交易意愿反映在限价委托单簿中,从而对限价订单簿的研究具有重要意义。
(2)最优限价订单的贡献度最大,在价格发现中提供了63.82%的信息份额；最近成交价的贡献度为14.76%；次优限价订单有助于价格发现,其贡献度为21.43%；次优限价订单的信息含量随订单主动性的下降而递减；随着交易活跃度的下降,投资者更倾向于提交限价订单,从而导致次优限价订单包含更多信息价值；次优限价订单的信息含量随公司规模和Beta系数的上升而单调下降。
(3)限价订单簿的不平衡导致暂时性波动,进而改变订单流的结构,从而影响订单簿的深度；当限价卖(买)单不足而引起上行(下行)波动时,潜在卖方(买方)提交限价卖(买)单,而不是市价卖(买)单。
(4)买卖价差、波动率和收益率对投资者的下单策略较为显著,而订单不平衡对投资者下单策略影响较弱；个人投资者为流动性提供者,其在制定下单策略时主要使用第1档的订单簿信息；当买卖价差扩大时,投资者对已提交的订单进行撤消的概率将上升,进行修改的概率将下降,同时,随着波动率或者收益率的增加,撤消订单的概率将下降,但修改订单的概率将增加。
The source of liquidity differs from each other among the stock exchanges over the world. Liquidity is provided by the market maker in the quote driven market, and by the orders of limit order book in the order driven market, and by the designated specialist along with the limit orders in the hybrid market such as New York Stock Exchange. It has been a long history that the theories and empirical literatures on market microstructure focus mainly on the quote driven market, however rarely the theories and empirical literatures about price discovery, liquidity provision, and Order Placement Strategies on the order driven market. In view of this, this paper devotes to research on the formation, features, and influence of the limit order book in the purely order driven market.
The logic of this paper is as follow:firstly, we apply the simulation method to study the limit order book's formation based on the model about the relationship between the order book's volume and price advocated by Sandas(2001), secondly, we study on the features of China's limit order book. finally, we study the influence of the limit order book, including which impact on the on price discovery, liquidity provision, and Order Placement Strategies.
In a word, this paper study the formation, features, and influence of the limit order book from the Shanghai Stock Exchange's level-2 market data, high-frequency data, and the investor's account data. Its work and corresponding conclusions would be summarized as follows:
1. We have found that of the main factors affecting bid-ask spread is the order processing costs and public information, adverse selection costs are very small, and the bid-ask spread characteristic as "L" shape of day variation; Active trading characteristic as "U" shape of day variation; The limit order book is strictly concave. It's showed that the trading volume accounted for only a small part of the supply, and investors'main trading demand could be reflected in the limit order book, and thus the research on the limit order book is of great significance.
2.The optimal limit order is the one whose contribution is the largest in the price discovery, which accounts for 63.82% share, and the recent dealt limit order 14.76% share,the second-best limit order 21.43%.As for the second-best limit order, its information decreases with the order's initiative descending as well as the increase of the company size and the Beta coefficients, and contains more valuable information when the investors tend to submit the limit orders in light with the trading activity degree's decline.
3. The imbalance of Limit order book causes the transitory volatility, and then change the structure of order flow, thus affecting the depth of limit order book; When transitory volatility arises from the ask (bid) side, investors will submit more limit sell (buy) orders than market sell (buy) orders.
4. The Bid-ask spread, volatility and returns impact on investors'Order Placement Strategies, but the imbalance of the limit order is weak; Individual investors are the liquidity provider, where place orders based on the top of the book; when the bid-ask spread to expand, investors have been submitted orders will increase the probability of order cancellations, but decrease the probability of order amendments. when the volatility or returns increasing, the probability of order cancellations will decline, but decrease the probability of order amendments increase.
引文
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