CAJ | 학술논문

近年来关于限价指令簿和指令驱动市场的研究成为理论界与实务界共同关注的一个问题。由于在指令驱动市场中投资者的行动空间、状态空间以及决策时点的维度都大大增加，研究难度也大大提高，该领域的研究在国外尚处于起步阶段，在国内则几近空白。早期的静态均衡模型研究的重点主要在于描绘加总的LOB形状，以及不同市场机制的比较。近年来很多学者将外生决定的指令选择这一假设修改为内生决定的指令选择，从而将LOB的理论研究从静态均衡模型推向了动态均衡模型。LOB的实证研究则主要包括指令簿和指令流的特征分析、指令的激进性、指令的不平衡、指令簿的信息内涵以及指令簿透明度与市场质量等方面。但相对于指令驱动市场目前在全球证券交易中所占的绝对重要地位而言，关于指令簿和指令驱动市场的研究仍处于起步阶段，有待于进一步深入拓展。
근년래관우한개지령부화지령구동시장적연구성위이론계여실무계공동관주적일개문제。유우재지령구동시장중투자자적행동공간、상태공간이급결책시점적유도도대대증가，연구난도야대대제고，해영역적연구재국외상처우기보계단，재국내칙궤근공백。조기적정태균형모형연구적중점주요재우묘회가총적LOB형상，이급불동시장궤제적비교。근년래흔다학자장외생결정적지령선택저일가설수개위내생결정적지령선택，종이장LOB적이론연구종정태균형모형추향료동태균형모형。LOB적실증연구칙주요포괄지령부화지령류적특정분석、지령적격진성、지령적불평형、지령부적신식내함이급지령부투명도여시장질량등방면。단상대우지령구동시장목전재전구증권교역중소점적절대중요지위이언，관우지령부화지령구동시장적연구잉처우기보계단，유대우진일보심입탁전。
Recently, limit order hook （ LOB ） and order-driven markets have become the research interests of many scholars. But compared with quote-driven markets, the economic interactions in order-driven markets are more complex because the associated action and state spaces are larger and the decision dates are chosen by investors rather than being pre-determined. The early static equilibrium limit order models focus on the shape of the aggregate LOB and the comparison of different trading mechanisms, while recent dynamic equilibrium models focus on endogenous order choice and the resulting patterns of order flow. The empirical studies focus on the features of LOB and order flow, determinants of order aggressiveness, order imbalance, information content of LOB, transparency of LOB and market efficiency. With the rapid development of order-driven markets, they are playing more and more important roles in the global stock trading. However, the research of this area is still at its preliminary stage, and more in-depth research needs to be done in the future.