基于计算实验金融的指令驱动市场指令簿透明度和最小报价单位研究
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摘要
目前世界上越来越多的交易所采用指令驱动市场,传统的做市商市场正在逐渐被交易速度快、交易成本低的电子订单驱动市场所取代。由于指令驱动市场具有其独有的特征,不同于其他市场,因此指令驱动市场特别是其市场微观结构的相关研究具有重要的意义。指令簿透明度和最小报价单位是市场微观结构的重要组成部分。本文对以往指令簿透明度和最小报价单位的相关研究进行了系统性综述,发现尽管以往研究在指令簿透明度和最小报价单位对市场的影响方面取得了一定的成果,但一直没有取得一致的结论。对于造成这一现象的主要原因,本文分析认为是由于研究者没有充分考虑研究对象的市场环境如交易者属性、信息等因素的不同造成的影响。因此本文将研究放入特定市场中,在不同的市场条件下进行市场微观结构方面的研究。本文在总结以往研究方法的缺陷和不足的基础上,同时结合自己的研究思路,提出基于计算实验金融理论的研究方法,建立指令驱动市场模型,研究在不同指令簿透明度和最小报价单位的条件下,指令驱动市场对市场指令簿的动态过程以及整个市场宏观涌现特征。
为了研究特定市场环境中市场微观结构对市场的影响机理,本文构建了两类市场。第一类市场为流动性市场,市场中没有信息存在,市场由时间成本不同的流动性交易者组成,并且根据市场的交易者构成不同,流动性市场分为急躁的市场、温和的市场和耐心的市场三类市场;另一类为信息市场,由信息交易者和流动性交易者组成,在流动性交易市场的基础上加入了信息因素。在构造多个市场模型的基础上,本文研究在不同的市场环境中市场指令簿透明度和最小报价单位对指令驱动市场的交易成本、交易者行为、市场总体特征和价格发现等方面的影响。
本文的市场模型的研究结果总体上支持以往研究如Harris(1994)、Madhavan、Porter和Weaver(2005)、Bessembinder(2009)等观点。但同时本文的研究结论也表明特定的市场条件对于市场指令簿透明度和最小报价单位对市场的影响机理具有很大影响。比如在耐心的市场中,由于提供流动性的交易者较多,指令簿上的委托量较大,呈现出和急躁的市场以及温和的市场不同的规律。并且在信息市场的实验过程中发现,由于指令簿透明度和最小报价单位的改变影响了市场的价格发现和信息传递效率,导致信息交易者提交指令行为不同,从而影响了市场指令簿的动态特征和交易者行为以及市场宏观特征。因此在设计市场微观结构时要充分考虑到如信息结构、交易者构成等市场本身的属性,才能准确衡量市场微观结构对市场的影响,制定出符合不同市场需要的市场微观结构机制。
从实践上,目前世界很多交易市场主要倾向于提高指令簿透明度和减小最小报价单位,但通过本文的研究发现,市场透明度和最小报价单位对市场的影响是复杂的,并不是提高指令簿透明度和减小最小报价单位一定有利于市场发展,并且不同的市场环境下市场微观结构对市场的影响不同,因此研究市场微观结构首先要明确市场的具体环境和交易者构成,在此基础上,才能准确考量市场微观结构对市场的影响。所以,我国市场监管部门在制定市场的相关政策时,一定要首先考虑我国市场自身的特征,将国外经验和我国市场具体情况结合起来,制定符合我国市场自身要求的政策,才能促进我国金融市场健康、有序的快速发展。
More and more exchanges in the world introduce order-driven market. Many traditional markets with market makers are gradually being replaced by electronic order-driven markets, which operate faster and cost lower. As order-driven market is quite different from other markets, the research on market microstructure of order-driven market is necessary and important. Order book disclosure and tick size is an important part of market microstructure. This paper systematically reviewed the previous studies on order book disclosure and tick size, found that although those papers have some significative results, but no agreement had been concluded. This paper found that researchers did not fully consider the market environment such as traders’character and information is the main reason for this phenomenon. So this paper will research on market microstructure in a specific market environment. And based on previous studies, this paper introduces agent-based computational finance, studies market order book dynamic process and the emergence of the macroscopic characteristics of the market in different markets based on order-driven market.
In order to study different market environment, this paper constructs two types of markets. The first one is market with liquidity-motivated traders. There is no information in the market, and liquidity-motivated traders differ in waiting cost. And with different structure of traders, there are three markets, impatient market, moderate market and patient market. The other one is market with information, which is composed of information-motivated traders and liquidity-motivated traders. Based on these models, this paper researches the transaction costs, traders behavior, market characteristics and price discovery in different markets with different order book transparency and tick size.
This paper’s results support previous studies such as Harris (1994), Madhavan, Porter and Weaver (2005) and Bessembinder (2009) as a whole. Our result shows that certain market conditions has great impact on the effect of order book disclosure and Tick size. As for markets with liquidity-motivated traders, the impatient market is different from the patient market and the moderate market because the traders who provide liquidity are more than the other two markets. In the experiment of the markets with information, we found that the change of order book disclosure and tick size impacts on price discovery and information transmission. So the orders submitted by information-motivated traders for arbitrage are different, which affects the dynamic of market order book and dealer behavior as well as macroscopic characteristics of the market. So we should take into account the market's character such as information structure and traders attribute when designing market microstructure, in order to accurately measure the effect of the market microstructure on the market. After that, the design of market microstructure mechanism can adapt itself to different markets’conditions.
In practice, many markets in the world mainly tend to increase order book disclosure and reduce tick size. Based on this study, we find that order book disclosure and the tick size has complex impact on market. Only increasing order book disclosure and reducing tick size may not promote the development of financial market. And market microstructure will affect market differently in different market environment. So when we study market microstructure, the market environment and the structure of traders should be defined firstly. Then we can measure the impact of market microstructure on a special market exactly. Therefore when designing market rules, Chinese market regulators should first consider the characteristics of our market, and then learn foreign experience. After that, we can constitute new regulations accord with Chinese market’s condition and promote Chinese financial market to develop rapidly and healthily.
为了研究特定市场环境中市场微观结构对市场的影响机理,本文构建了两类市场。第一类市场为流动性市场,市场中没有信息存在,市场由时间成本不同的流动性交易者组成,并且根据市场的交易者构成不同,流动性市场分为急躁的市场、温和的市场和耐心的市场三类市场;另一类为信息市场,由信息交易者和流动性交易者组成,在流动性交易市场的基础上加入了信息因素。在构造多个市场模型的基础上,本文研究在不同的市场环境中市场指令簿透明度和最小报价单位对指令驱动市场的交易成本、交易者行为、市场总体特征和价格发现等方面的影响。
本文的市场模型的研究结果总体上支持以往研究如Harris(1994)、Madhavan、Porter和Weaver(2005)、Bessembinder(2009)等观点。但同时本文的研究结论也表明特定的市场条件对于市场指令簿透明度和最小报价单位对市场的影响机理具有很大影响。比如在耐心的市场中,由于提供流动性的交易者较多,指令簿上的委托量较大,呈现出和急躁的市场以及温和的市场不同的规律。并且在信息市场的实验过程中发现,由于指令簿透明度和最小报价单位的改变影响了市场的价格发现和信息传递效率,导致信息交易者提交指令行为不同,从而影响了市场指令簿的动态特征和交易者行为以及市场宏观特征。因此在设计市场微观结构时要充分考虑到如信息结构、交易者构成等市场本身的属性,才能准确衡量市场微观结构对市场的影响,制定出符合不同市场需要的市场微观结构机制。
从实践上,目前世界很多交易市场主要倾向于提高指令簿透明度和减小最小报价单位,但通过本文的研究发现,市场透明度和最小报价单位对市场的影响是复杂的,并不是提高指令簿透明度和减小最小报价单位一定有利于市场发展,并且不同的市场环境下市场微观结构对市场的影响不同,因此研究市场微观结构首先要明确市场的具体环境和交易者构成,在此基础上,才能准确考量市场微观结构对市场的影响。所以,我国市场监管部门在制定市场的相关政策时,一定要首先考虑我国市场自身的特征,将国外经验和我国市场具体情况结合起来,制定符合我国市场自身要求的政策,才能促进我国金融市场健康、有序的快速发展。
More and more exchanges in the world introduce order-driven market. Many traditional markets with market makers are gradually being replaced by electronic order-driven markets, which operate faster and cost lower. As order-driven market is quite different from other markets, the research on market microstructure of order-driven market is necessary and important. Order book disclosure and tick size is an important part of market microstructure. This paper systematically reviewed the previous studies on order book disclosure and tick size, found that although those papers have some significative results, but no agreement had been concluded. This paper found that researchers did not fully consider the market environment such as traders’character and information is the main reason for this phenomenon. So this paper will research on market microstructure in a specific market environment. And based on previous studies, this paper introduces agent-based computational finance, studies market order book dynamic process and the emergence of the macroscopic characteristics of the market in different markets based on order-driven market.
In order to study different market environment, this paper constructs two types of markets. The first one is market with liquidity-motivated traders. There is no information in the market, and liquidity-motivated traders differ in waiting cost. And with different structure of traders, there are three markets, impatient market, moderate market and patient market. The other one is market with information, which is composed of information-motivated traders and liquidity-motivated traders. Based on these models, this paper researches the transaction costs, traders behavior, market characteristics and price discovery in different markets with different order book transparency and tick size.
This paper’s results support previous studies such as Harris (1994), Madhavan, Porter and Weaver (2005) and Bessembinder (2009) as a whole. Our result shows that certain market conditions has great impact on the effect of order book disclosure and Tick size. As for markets with liquidity-motivated traders, the impatient market is different from the patient market and the moderate market because the traders who provide liquidity are more than the other two markets. In the experiment of the markets with information, we found that the change of order book disclosure and tick size impacts on price discovery and information transmission. So the orders submitted by information-motivated traders for arbitrage are different, which affects the dynamic of market order book and dealer behavior as well as macroscopic characteristics of the market. So we should take into account the market's character such as information structure and traders attribute when designing market microstructure, in order to accurately measure the effect of the market microstructure on the market. After that, the design of market microstructure mechanism can adapt itself to different markets’conditions.
In practice, many markets in the world mainly tend to increase order book disclosure and reduce tick size. Based on this study, we find that order book disclosure and the tick size has complex impact on market. Only increasing order book disclosure and reducing tick size may not promote the development of financial market. And market microstructure will affect market differently in different market environment. So when we study market microstructure, the market environment and the structure of traders should be defined firstly. Then we can measure the impact of market microstructure on a special market exactly. Therefore when designing market rules, Chinese market regulators should first consider the characteristics of our market, and then learn foreign experience. After that, we can constitute new regulations accord with Chinese market’s condition and promote Chinese financial market to develop rapidly and healthily.
引文
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