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THE EFFECTS OF market depth ON THE ARRIVAL RATE OF ORDERS

Journal of Systems Science & Complexity 2014年第6期27卷 1192-1203页

作者： ZHANG Qiang LIU Shancun QIU Wanhua School of Economics and Management Beijing University of Chemical Technology School of Economics and Management Beihang University

This paper presents a model to describe the dynamic trading process in limit order *** studying the dynamic pattern of execution probabilities of limit orders with both time and the depth of limit order book,the authors conclude with the following properties:Arrival rates of market buy orders increase as the depth of buy queue in the book increases and decrease as the depth of sell queue increases,and vice versa;similar regularities for the arrival rate of market sell orders;both the arrival rate of market buy order and market sell orders increase as the depth of both sides in the book increases by the same ***,the authors describe more detailed temporary and permanent effects of the market depth on the arrival rates of orders.

关键词： Arrival rate limit order market market depth private value.

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运筹学学报（中英文） 2024年第3期28卷 97-107页

作者： ZHOU Yonghui XIAO Kai Schoolof Big Data and Computer Sciences Guizhou Normal UniversityGuiyang 550001GuizhouChina School of Mathematics and Statistics Guizhou University of Finance and EconomicsGuiyang 550001GuizhouChina

A model of continuous-time insider trading in which a risk-neutral in-sider possesses two imperfect correlated signals of a risky asset is *** conditional expectation theory and filtering theory,we first establish three lemmas:normal corre-lation,equivalent pricing and equivalent profit,which can guarantee to turn our model into a model with insider knowing full *** we investigate the impact of the two correlated signals on the market equilibrium consisting of optimal insider trading strategy and semi-strong pricing *** shows that in the equilibrium,(1)the market depth is constant over time;(2)if the two noisy signals are not linerly correlated,then all private information of the insider is incorporated into prices in the end while the whole information on the asset value can not incorporated into prices in the end;(3)if the two noisy signals are linear correlated such that the insider can infer the whole information of the asset value,then our model turns into a model with insider knowing full information;(4)if the two noisy signals are the same then the total ex ant profit of the insider is increasing with the noise decreasing,while down to O as the noise going up to infinity;(5)if the two noisy signals are not linear correlated then with one noisy signal fixed,the total ex ante profit of the insider is single-peaked with a unique minimum with respect to the other noisy signal value,and furthermore as the noisy value going to O it gets its maximum,the profit in the case that the real value is observed.

关键词： continuous-time insider trading risk neutral private correlated signals linear bayesian equilibrium market depth residual information

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Call Warrants Impact on Underlying Stocks： The Taiwan Experience

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Chinese Business Review 2011年第2期10卷 77-83页

作者： LIU Shu-Ing LEE Ching-Yi Shih Hsin University Taipei Taiwan

On the basis of the price, volume and volatility of underlying stocks, this article empirically investigates the impact of 273 Taiwan call warrants on underlying stocks. Discussions by the market risk, depth, tightness and liquidity, changes on underlying stocks due to warrants issuance, are investigated. In this study, the CAPM is applied for evaluating the market risk, the Kyle model for the market depth, the averaged best five bid-ask spread for the market tightness and the averaged turnover rate for the market liquidity. The empirical results indicate that the most significant influence is the market liquidity, the market tightness next; the market risk and market depth are non-significant.

关键词： CAPM market depth market liquidity market tightness warrants

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