CAJ | 학술논문

金融市场中存在着由私有信息推动的知情交易，其具有行为复杂、甄别困难等特性。本文以股票价格序列的 Lévy 跳为工具揭示交易价格的异常波动，从而测度这一较为特殊的交易情况。基于 Lévy 跳跃程度的度量方法和知情交易概率 PIN 模型，文章研究了股票价格的跳跃异常程度与股票交易的 PIN 值之间的相关性情况，发现两者之间具有显著的相关关系，并通过事件研究进一步支持了跳跃程度可以在一定程度上度量知情交易的假设。于此同时，给出了跳跃程度异常系数的计算方法，用以在实践中度量跳跃的异常程度，为知情交易的监管等提供了另一种工具上的选择。
금융시장중존재착유사유신식추동적지정교역，기구유행위복잡、견별곤난등특성。본문이고표개격서렬적 Lévy 도위공구게시교역개격적이상파동，종이측도저일교위특수적교역정황。기우 Lévy 도약정도적도량방법화지정교역개솔 PIN 모형，문장연구료고표개격적도약이상정도여고표교역적 PIN 치지간적상관성정황，발현량자지간구유현저적상관관계，병통과사건연구진일보지지료도약정도가이재일정정도상도량지정교역적가설。우차동시，급출료도약정도이상계수적계산방법，용이재실천중도량도약적이상정도，위지정교역적감관등제공료령일충공구상적선택。
There exists informed trading which is motivated by information in the financial markets. It has complex behavior and is difficult to discriminate. The paper uses Lévy kumps of the stock price series as a tool to measure the abnormity of prices so as to detect this special case in the market. Based on the method of esti-mating the degree of activity of kumps and probability of informed trading(PIN)model,the paper examines the relativity between stock price kumps’degree and PIN in stock trading and finds that there exists a signifi-cant correlation between the two,and then further supports the hypothesis that kump activity can be used to measure the informed trading. Except that,the paper presents the computational method of the coefficient of kumps’degree abnormity which can be contrasted. It can be regarded as another tool for the supervising of in-formed trading.