系统管理学报2012，Vol.21Issue(6)：765-770,6.
价格发现速度与流动性
The Speed of Price Discovery and Liquidity
李斌 1汪寿阳1
作者信息
- 1. 中国科学院大学管理学院,北京 100190
- 折叠
摘要
Abstract
The misprice process is described by a state-space model and the speed of price discovery is estimated via Kalman filter, then the relationship between the speed of price discovery and liquidity is investigated. Using 1 minute data of 10 stocks, we draw the following conclusions: 1. the price discovery speed slows down when liquidity is weak, and the bid-ask spread can affect the speed while the depth cannot; 2. the information concentrates on the best quote of limit order book, and the best quote has bigger influence on the speed of price discovery; 3. the more frequently traded stocks' bid-ask spread will affect the speed in the next few days while the less frequently traded stocks' price discovery speed will change the liquidity in the near future.关键词
定价误差/流动性/买卖价差/状态空间模型/卡尔曼滤波Key words
mispricing/liquidity/bid-ask spread/state space model/Kalman filter分类
管理科学引用本文复制引用
李斌,汪寿阳..价格发现速度与流动性[J].系统管理学报,2012,21(6):765-770,6.
