2000 1
1975 Quote-driven SystemOrder-driven System 1999 2000 2000 2000 2000 2000 1999 2
3
r it rit = ln pit ln pi, t 1 p p it i, t 1 1 2 Kyle1985 4
4 1BreadthWidth 2 (Depth) (Order Book)3Resiliency 4(Immediacy) (Scalar) 3 Harris(1990) 3 Quoted Spread,Realized Spread ; Effective SpreadGlosten Harris(1988)BIS 1 OO' OO" O' A O" B OM MN O' O" O' A O' M AA' AA' Market Reaction Curve. 5
T A T+1 O M A N B O B O T 1 3 6
4 7
1 2 3 M t =M t-1 +U t B t =M t -C A t =M t +C P t =[B t ]P t = [A t ] M B A C P C C A 1% C 0.1%--0.2% 1 W,t=2*H,t-L,t/H,t+L,tHL t 0.005%-0.01% 2 D C, t t [M t -C,M t +C] Pλ M t / M t > γ [ λ, ] 3 R,C t λt + M t C 2 10 α α A1 10 8
B1 C10 α C 3 3 ST 1 4 10 0.01%t1 1 2 0.01% t2t9 t10 10 1 10% 40% 0.01% a 5 a 0.005% 6 0 3 0 3 3σ 3 29 2 3 4 2 2σ 600104 600718 8.5% 0.5% 2% 9
.002666 Control Chart: WIDTH_C.017462 Control Chart: DEPTH_C.002045.012993.001424.008524 WIDTH_C DEPTH_C.000804 600001 2 Sigma 29 level: 2 3 Sigma 29level: 2 600886 600867 600839 600811 600736 600718 600690 600663 600643 600631 600104 600098 600068 600009 UCL =.00191009.004055 600886 600867 600839 600811 600736 600718 600690 600663 600643 600631 600104 600098 600068 600009 UCL =.01598110 Average =.00142438 Average =.00852414.000183 LCL =.00093866 -.000414 LCL =.00106717 600001 2 29 3 29 Sigma Level 7 10 0.2% t1 0.2% 1 2 t2 t9 t10 10 0.2% 7 0.2% 20% 10 600001600002600009 0.2% 10% 0.12% 8 0.12% 600001600002 600115 600868 0.2% 0.12% 50% 1 5 5 8 0.12% 1 0.12% 1 9 10 3 2σ 600058 600649 63.8% 37.7% A 2% 10. 0.2% 10 30% 10
15 1 Error and Trial 0.12% 30 10 15 27. 4 600688 30 5 1 0.2% 4 29 2 11 12.0137684 Control Chart: DEPTH.0027163 Control Chart: D_DIFF.0113898.0015328.0090113.0003493 DEPTH D_DIFF.0066327 UCL =.01050489 -.0008341 UCL =.00136053 Average =.00901129 Average =.00034935.0042542 1.00 5.00 9.00 13.00 17.00 21.00 3.00 7.00 11.00 15.00 19.00 23.00 LCL =.00751769 -.0020176 1.00 5.00 9.00 13.00 17.00 21.00 3.00 7.00 11.00 15.00 19.00 23.00 LCL = -.00066184 Sigma level: 3 5 Sigma level: 2 6 3σ 2σ 5 6 5 9 30 11 11 30 1 1 30 11
2 30 3σ 6 14 7 6 20 5 6.0040 Control Chart: WIDTH.00150 Control Chart: W_DIFF.0027.00069.0014 -.00012 W_DIFF.0001 WIDTH UCL =.00 180275 Average =.00 140892 -.00093 UCL =.0 0010754 Average = -.0 0012352 -.0012 1.00 5.00 9.00 13.00 17.00 21.00 3.00 7.00 11.00 15.00 19.00 23.00 LCL =.00 101509 -.00174 1.00 5.00 9.00 13.00 17.00 21.00 3.00 7.00 11.00 15.00 19.00 23.00 LCL = -.0 0035459 Sigma level: 3 Sigma level: 2 7 8 9 22.81685 Control Chart: RESIL 22.24163 21.66642 RESIL 21.09120 UCL = 22.2867 A verage = 21.6664 20.51599 1.00 2.00 3.00 4.00 5.00 6.00 7.00 8.00 LCL = 21.0461 Sigma level: 1 9 3 n 3 12
10 930 935 600001 930 935 T u 1 u 2 σ 1 σ 2 T T = (u1 u 2 ) / 2 2 σ 1 σ + 2 n1 n 2 95% T 1.96 14 14 15 T 95% T 1.96 15 4 13
Bagehot[1971] (Informed Trader)(Uninformed Trader) A B 1 10% 5%2 ST 18 3.6% ST 2000 CAPM 2001 100 1 1998 8 5.6 00 2 126.31 21.5 1999 12 30 2878 2238 1000 0.97% 2000 4 1/6 29 915 930 930 1130 100 300 4 (Intra-day Data) 29 2000 9 6 2000 12 31 ST ST 2000 3 2000 5 2000 7 2000 10 14
2000 600654 2000 8 1 7 1 8 30 9 1 9 30 T 16 Informed Trader 16 17 ST 600629 00 4 27 ST 00 3 29 00 4 27 ST 00 4 28 00 5 27 17 ST T ST 17 5 Saaty Analytic 15
1 9 18 1 3 5 7 9 2468 i j b ij j i 1 / b ij 19 1 1/2 3 2 1 3 1/3 1/3 1 0.331 0.5290.14 i = 1,2, 3 Good = (G,,G ) (Bad) = (B,,B ) G 1 3 B 1 3 = (R,,R ) r r1 R = 1 0 r2 1 0 R F = G B R 1 1 1 R G B B 2 2 2 R G B i i i = ( i = 1,...3) G i Bi r10 1 0 3 3 3 R 1 3 n=3 16
R 3 3 3 p 1/ p U[ ( ωi ri 1 ) V[ i= 1 3 i= 1 p ( ωi ri 0 ) p = 2 U, V U + V = 1 3 2 p 2 / p 2 min U [ ( ω i ri 1 ) + [ i= 1 U 1 = 1+ { 3 i= 1 i= 1 1 i i 3 V ( ω r i= 1 p ( ωi ri 1 ) } 3 p ( ω r ) 20 0.98 0.95 0.1 0.01 00 9 00 12 i 2 / p i p ) 2 / p 1/ p 10 17
12 13 30 U ν 3 σ 3 3 2 ( x x) ( x x) ν 3 = σ = n n ν 4 3 4 σ 18
4 2 ( x x) ( x x) ν 4 = σ = n n 8000 6000 4000 2000 0-2 -1 0 1 2 3 19
yt = x' t β + ν t ν = ε ϕ ν... ϕ ν t ε = t t h e t t 1 t 1 m t m q p = + 2 ω α + iε t i i= 1 j= 1 h t γ h j t j e t ~ IN(0,1) ω α 1 γ 1 20
15 AR(2)~ φ it φ = vol / S it it i vol S it i 16 21
ordert OB it / Si OS it / Si order t = ordert ordert 1 OBt OSt 17 5 22
Kyle(1984) 1 WTO 2 23
3 24
1 100 1 0.01 0.1% 2 90 25
[1] BIS, Market Liquidity: Research Findings and Selected Policy Implications, Basel, 1999,May,Working Paper. [2] Kyle,A.S., Continuous Auctions and Insider Trading, Econometrica 53: 1315-1336 [3] O Hara, M., Market Microstructure Theory, Blackwell Publishers Inc., Cambridge, 1995 [4]Alfonso Dufour, Robert Engle, Time and the Price Impact of a Trade, 2000 [5] Tarun Chordia, Richard Roll, and Avanidhar Subrahmanyam,Co-Movements and Bid-Ask Spreads and Market Depth, Financial Analysts Journal,2000,September. [6] Satty. T.L, The Analytical Hierachy Process, McGraw-Hill Inc. New York, 1980 [7] 1999 [8] 20007 [9] 2000 [10]1999(7 26
4 a=0.01%% 5 a=0.005%% 27
6 a=0.01% 7 C=0.2%% 28
8 C=0.12%% 9 C=0.12% 29
10 C=0.12% 30
11 12 13 15 31
930-940 935-945 930-1000 935-1005 20 00 % 32
18 33