论文标题
市场流动性的双状态空间模型：中国体验2009-2010
Dual State-Space Model of Market Liquidity: The Chinese Experience 2009-2010
论文作者
论文摘要
本文基于双重状态空间的线性回归，提出并激发了中国股票市场的动态模型，该空间与傅立叶变换相关联的原始状态空间相关的相关性。我们将模型应用于2009 - 2010年中国经纪人执行订单的价格迁移。假设磁带对应于随机分配，知情和不知情的商人，则使用监管经纪录像带进行自然实验。我们的分析表明，客户的订单与中国市场情绪指数紧密相关 - 在高度非线性的神经网络中，与股票收益密切相关，并且与中国银行的铃心债券无关。我们没有注意到2010年5月从美国Flash崩溃传输到在中国交易的任何流动性发出的任何激增。
This paper proposes and motivates a dynamical model of the Chinese stock market based on a linear regression in a dual state space connected to the original state space of correlations between the volume-at-price buckets by a Fourier transform. We apply our model to the price migration of executed orders by the Chinese brokerages in 2009-2010. Regulatory brokerage tapes were used to conduct a natural experiment assuming that tapes correspond to randomly assigned, informed and uninformed traders. Our analysis demonstrated that customers' orders were tightly correlated--in a highly nonlinear sense of the neural networks--with the Chinese market sentiment index, significantly correlated with the stock returns and exhibited no correlation with the bellwether bond of the Bank of China. We did not notice any spike of illiquidity transmitting from the US Flash Crash in May 2010 to trading in China.
