The Panel Data Analysis of the Liquidity Impact Cost and the Determinants in Chinese A-Share Market

机译：中国A股市场流动性影响成本及其决定因素的面板数据分析

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We construct a market impact cost proxy which reflects market breadth and market depth to measure the liquidity in Chinese A-share market, and based on this proxy, we use high frequency trading data and panel data analysis method to study the relationship between the determinants and the market impact cost.

机译：我们构建了反映市场广度和市场深度的市场影响成本代理，以衡量中国A股市场的流动性，并在此代理的基础上，使用高频交易数据和面板数据分析方法来研究决定因素与收益之间的关系。市场影响成本。

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《International Conference on Industrial Engineering and Engineering Management;IEEM'2008》|2008年|1-4|共4页
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作者
Guozhang Wu;
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中图分类管理学;
关键词
Market Impact Cost; Liquidity; Determinants; Panel Data;

机译：市场影响成本;流动资金;行列式;面板数据;

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机译：我们在限价订单簿中开发了冰山订单执行的顺序交易模型。 Iceberg-trader可以自由地揭露他的交易意图，或者（部分）屏蔽其他市场参与者的真实订单规模。订单暴露最终会导致市场反应激烈（“市场影响”），导致交易成本上升。另一方面，冰山交易员在隐藏他的意图时面临优先权损失，因为大多数电子限价订单都会惩罚隐藏流动性的使用。因此，冰山商人面临着找到正确权衡的问题。我们的模型为限额订单市场中的冰山交易者提供了最佳的风险敞口策略。特别是，我们提供了一系列分析性陈述，这些陈述与最近关于交易者暴露策略决定因素的实证研究结果一致。在此框架下，我们还研究了市场影响以及限价订单的市场影响。我们为来自美国标准普尔500指数的一系列高科技股票提供最佳曝光配置文件，以及它们如何随着本书的规模扩展。我们最终根据极限订单测试了冰山的表现，发现冰山订单可以显着提升贸易业绩高达60％。

The Panel Data Analysis of the Liquidity Impact Cost and the Determinants in Chinese A-Share Market

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