周口师范学院学报
週口師範學院學報
주구사범학원학보
Journal of Zhoukou Normal University
2015年
1期
99~102
,共null页
知情交易概率 改进的(PIN)模型 信息不对称
知情交易概率 改進的(PIN)模型 信息不對稱
지정교역개솔 개진적(PIN)모형 신식불대칭
probability of informed trading ; AdjPIN ; information asymmetry
知情交易概率(PIN)模型是最早用来度量市场信息不对称程度的模型,为市场微观经济理论做出了巨大贡献。然而,PIN模型所隐含的买卖指令之间的相关关系与实际并不相符。Duarte and Young(2009)通过增加指令冲击流等因素,对PIN模型进行了改进。利用沪深两市27家金融公司股票交易高频数据,对PIN模型和改进的PIN模型所隐含的买入量和卖出量相关性进行实证研究,验证两个模型与实际数据是否相符。27只股票运算结果显示,PIN模型隐含的买入量和卖出量之间的负相关关系与实际数据中买入量和卖出量之间的正相关关系并不相符,而改进的PIN模型隐含的买卖量之间的正相关性与实际数据一致。
知情交易概率(PIN)模型是最早用來度量市場信息不對稱程度的模型,為市場微觀經濟理論做齣瞭巨大貢獻。然而,PIN模型所隱含的買賣指令之間的相關關繫與實際併不相符。Duarte and Young(2009)通過增加指令遲擊流等因素,對PIN模型進行瞭改進。利用滬深兩市27傢金融公司股票交易高頻數據,對PIN模型和改進的PIN模型所隱含的買入量和賣齣量相關性進行實證研究,驗證兩箇模型與實際數據是否相符。27隻股票運算結果顯示,PIN模型隱含的買入量和賣齣量之間的負相關關繫與實際數據中買入量和賣齣量之間的正相關關繫併不相符,而改進的PIN模型隱含的買賣量之間的正相關性與實際數據一緻。
지정교역개솔(PIN)모형시최조용래도량시장신식불대칭정도적모형,위시장미관경제이론주출료거대공헌。연이,PIN모형소은함적매매지령지간적상관관계여실제병불상부。Duarte and Young(2009)통과증가지령충격류등인소,대PIN모형진행료개진。이용호심량시27가금융공사고표교역고빈수거,대PIN모형화개진적PIN모형소은함적매입량화매출량상관성진행실증연구,험증량개모형여실제수거시부상부。27지고표운산결과현시,PIN모형은함적매입량화매출량지간적부상관관계여실제수거중매입량화매출량지간적정상관관계병불상부,이개진적PIN모형은함적매매량지간적정상관성여실제수거일치。
Probability of Informed Trading (PIN) model is the first to measure the degree of the asymmetric informa tion, which has made tremendous contributions to the market micro economic theory. However, the correlation between buyers and sellers implied by the PIN model is not consistent with that in real data. Duarte and Young(2009)improved the PIN model by considering the factor of increasing the market order flow shock. In this paper, trading data from 27 companies in Shanghai and Shenzhen have been used to make comparative analysis between the PIN and AdjPIN, to verify the cor relation between buyers and sellers. The experimental results showed that that the negative correlation between buy and sell orders implied in the PIN model was not consistent with the positive correlation in real data, while the positive correlation implied in the AdjPIN model was consistent with that in real data.