国家杰出青年科学基金答辩汇报.ppt

d China-EU Summer School on Complexity Sciences Outlines 1. Order-driven markets 2. LFM scaling with NYSE data 3. LC scaling with ASE data 4. New scaling with Chinese data 5. Summary Order-driven market Cancelation of all orders at the best ask or bid Submission of an order inside the spread All partially filled orders (market orders) Some filled orders (market orders) Market orders vs. Limit orders Buy orders vs. Sell orders Filled orders vs. Partially filled order Mid-price at time t: Immediate price impact is defined as the relative change of mid-price right before and after the transaction: Volume-volatility relation: vs. Volume-return relation: vs. New York Stock Exchange Australian Stock Exchange Shenzhen Stock Exchange * Universal price impact functions of individual trades in an order-driven market Wei-Xing ZHOUEast China University of Science and Technology14 August 2010 Shanghai University for Science and Technology Which events move the price? Classification of orders Immediate price impact Volume-price relationship Karpoff, J. Fin. Quant. Analysis 22 (1987) 109-126. Lillo, Farmer Mantegna, Master curve for price-impact function, Nature 321 (2003) 129-130. TAQ of 1000 largest stocks on NYSE (1995-1998) vs. Source Date sets Variables 20 Portfolios grouped with Cap LFM scaling LFM scaling in Chinese data? NOT satisfactory!!! Lim Coggins, The immediate price impact of trades on the Australian Stock Exchange, Quantitative Finance (2005) 365-377. 300 constituent stocks of SP asx 300 index traded on the ASE (2001-2004) vs. Normalized daily-normalized trade size Source Date sets Variables 10 Portfolios grouped with Cap LC scaling LC scaling LC scaling LC scaling LC scaling in Chinese data? NOT satisfactory!!! Zhou, Universal price impact functions of individual trades in an o