市场短期操纵行为与订单簿高频信息的关联研究——基于中国市场的实证分析
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引用本文:孙煦初1,赵景东2.市场短期操纵行为与订单簿高频信息的关联研究——基于中国市场的实证分析[J].财经理论与实践,2020,(3):64-71
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作者单位
孙煦初1,赵景东2 (1.南京大学 商学院江苏 南京 2100932.上海清算所上海 200002) 
中文摘要:利用2016年11和12月中国A股市场的5秒高频数据,考量订单簿斜率指标与资产价格之间的关系。结果显示:订单簿斜率指标对存在于高频环境中的市场异象有着较好的解释力。由于订单簿斜率指标在不同市值条件下呈倒挂现象,且买卖订单簿斜率指标与资产价格呈现不同的相关关系。因此,订单簿斜率能在一定程度上捕捉市场操纵行为的信号。该研究有助于更好地理解中国股票市场中的操纵行为,也可为预警机制的建设提供有效的指标选择。
中文关键词:订单簿斜率指标  市场操纵  高频订单簿数据
 
Research on the Correlation between Short-term Market Fluctuation and High-frequency Information of Order Book:An Empirical Analysis Based on the Chinese Market
Abstract:The correlation between the order book slope indicators and the underlying asset price using high-frequency data in the Chinese A-share market in November and December of 2016. The results show that, the order book slope indicator has a better explanatory power for market anomalies that exist in high-frequency environments. As the order book slope index shows an upside down trend under different market value conditions, and the slopes of the buyer's order books and seller's order books have different correlations with the price changes, thus order book slope can capture the signal of market manipulation to a certain extent. The research in this paper not only helps to better understand the manipulation behavior in China's stock market, but also provides an effective index selection for the construction of early warning mechanism.
keywords:LOB slope indicators  market manipulation  high-frequency order book data
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