訂單流不平衡和股票價(jià)格行為研究.pdf

1、天津大學(xué)碩士學(xué)位論文訂單流不平衡和股票價(jià)格行為研究姓名：孫永亮申請(qǐng)學(xué)位級(jí)別：碩士專業(yè)：金融學(xué)指導(dǎo)教師：王春峰20070101ABSTRACTAssetpricebehaviorisalwaysthecorefieldoffinancialmarketmicrostructureStockpriceofexchangelistedfirmisinfluencednotonlybysomefinancialinformationbutals

2、obyvarious“marketinformation”Someoftheinformationreflectsthemovingdirectionofpricecorrectlywhileotherinformationisartificialormechanical“falseinformation’whichmayberelativeto“herdingeffect”orsomespecialbehaviorof“l(fā)iquidi

3、tytrader”MarketinformationishardtodistinguishdirectlybystockpricemovementIfthereisakindofindexwhichcanreflectthisinformation，weCallobservetheprocesshowinformationinfluencesstockpriceThearticleintroducesandusesorderimbala

4、ncetoresearchintothelongtermandpredictableinfluencetostockpricebehaviorMeanwhileweanalyzethisphenomenonusingatheoreticalmodelinasymmetricinformationtheoryframeworkAtlastwemakeaprospectabouttheuseoforderimbalanceThispaper

5、consistsofsevenchapters：ThechapterlmakesanintroductionaboutthebackgroundChapter2introducestheconceptoforderimbalanceanditsstatisticsChapter3reviewsmarketmicrostructuretheory(thedefinitionandhistory)Meanwhileweintroducesa

6、theoreticalmodelcalled“ordersplitmodel”togiveapointedinterpretationoforderimbalancephenomenonChapter4researchestimeseriescharacteristicoforderimbalance：longmemorywhichisagoodpreparationforpriceimpactandvolatilityforecast

7、Chapter5researchesintotheorderimbalancepriceimpacteffectboththeoreticallyandempiricallyChapter6introducestheuseoforderimbalanceinvolatilityforecastandVOID(thevolumeorderimbalancestrategydesign)Chapter7whichisasummarymain