订单拆分、知情交易概率与风险定价
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引用本文:徐光鲁1,马超群2,刘江龙3,米先华2.订单拆分、知情交易概率与风险定价[J].财经理论与实践,2021,(6):67-74
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徐光鲁1,马超群2,刘江龙3,米先华2 (1.中国农业银行 博士后科研工作站北京 1000052.湖南大学 工商管理学院湖南 长沙 4100823.西安电子科技大学 经济管理学院陕西 西安 710071) 
中文摘要:基于2018-2020年沪深300指数成分股的高频数据,构建累计拆分订单比变量度量市场订单拆分行为,考虑订单拆分行为对知情交易概率及其风险定价能力的影响。实证发现:订单拆分行为增加了不同算法下知情交易概率的差异,这一差异对流动性和订单规模因素具有稳健性。进一步研究发现:不同的订单拆分水平下,知情交易概率与风险定价之间呈现非线性关系,高订单拆分水平降低了知情交易概率的风险定价能力。
中文关键词:订单拆分  知情交易概率  风险定价
 
Order Slicing, the Probability of Informed Trading and Risk Pricing
Abstract:This paper is based on the high-frequency data of CSI 300 index from 2018 to 2020,and presents the ratio of order slicing as index of stealth trading to empirically tests its influence on the probability of informed trading and asset pricing. The results show that the order slicing behavior increases the differences of the probability of informed trading under different algorithms and this difference is robust to liquidity and order size. Further research shows under different order slicing levels, there is a non-linear relationship between the informed transaction probability and risk pricing. A high order slicing level reduces the risk pricing ability of the informed transaction probability.
keywords:order slicing  the probability of informed trading  risk pricing
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