集合竞价

封闭式与开放式集合竞价机制下的价格发现分析

Price Discovery of the Close-and-open Call Auction Mechanism

在集合竞价中，由于单个报价的限制，导致市场产生扭曲。

Under call auction , the restriction of single quote results in market twists .

集合竞价期间不接受市价指令申报。

No applicationdeclaration for market-price orders shall be accepted during aggregated auctions .

基于社会剩余最大化的集合竞价交易机制研究

Maximum Social Surplus-Based Call Auction Trading Mechanism

封闭式集合竞价交易策略模型及对沪市的实证检验

Trading Strategies in Blind Call Auction : Models and Empirical Analysis of Shanghai Stock Exchange

基于少数者博弈的可撤单模式的开放式集合竞价研究

Study on Open Call Auction with the mode of order cancellation Based on Minority Game

该模型表明，散户不愿意参加封闭式集合竞价交易，或者需要较高的风险补偿；

This model implies that the individual investor is not willing to attend the call auction or needs risk compensation .

从订单分布假设出发，构建了一个庄家和散户这两类交易者在封闭式集合竞价中的交易意愿和订单策略模型。

Based on the order distribution assumption , this paper sets up a strategic trading game model of blind call auction .

按照价格形成机制的不同，可以把证券市场划分为报价驱动的做市商市场、指令驱动的竞价市场（分为连续竞价与集合竞价），以及两者兼而有之的混合市场。

According to the price form mechanism we divided three kinds of markets : market-maker market , auction market and hybrid market .

文章应用上海证券交易所的分笔订单和交易数据实证检验了理论分析的结果，并提出了改进我国沪深市场开盘集合竞价的政策建议。

The empirical analysis of Shanghai Stock Exchange supports the model and indicates that the call auction mechanism of Chinese stock markets needs improvements .

首先，研究了在集合竞价的订单收集过程中交易前透明度增加对市场行为的影响。

The main contents and conclusions are as follows . Firstly , this dissertation studies the impacts of increasing the market transparency during the call auction process on the market behavior .

摘要采用金融市场微观结构理论的方法在理性预期的框架下研究了只允许提交限价指令情形下的封闭式集合竞价与开放式集合竞价的价格发现过程。

In the paper , we use the method of financial market microstructure theory to study the price discovery process of close-and-open call auction with limited order in the framework of rational expectation .

通过分析交易者提单行为的变化，本文在理性预期框架下构建了开放式集合竞价的均衡价格模型，并与封闭式集合竞价相比较。

By analyzing the behavior changes when traders submit orders , this dissertation develops a rational expectation equilibrium model in the open-call auction market , which is compared with that in the close-call auction market .

研究结论表明，若所有的投资者都是理性的，无论采用封闭式集合竞价还是开放式集合竞价，那么均衡价格均是风险资产真实价值的无偏估计量。

The results indicate that if all the investors all full rational , the equilibrium price , whether using close call auction or open call auction , is the unbiased estimator of the risky assets true value .

我们采用人工期货市场的竞价机制是集合竞价，并采用固定算法规则撮合，无涨停和跌停的限制，也无摩擦和手续费用，并且允许卖空，其交易条件是相当宽松的。

We use artificial futures market bid auction mechanism , and using fixed algorithms to match , no limit and limit restrictions , no friction and transaction costs , and allow short selling , the trading conditions are quite loose .

本文对做市商市场、连续竞价市场和集合竞价市场等三种基本交易机制下的价格形成进行了研究，证明了均衡时三种交易机制下的证券需求函数和价格函数均为线形。

The dissertation studies the price formation in three basic trading mechanisms including market making market , continuous auction market and call auction market . We argue that both of the security demand functions and security price functions are linear in equilibrium .

20世纪末21世纪初，随着大宗商品交易市场的快速发展，在批发市场、电子商务和期货交易的基础上，出现了大宗商品集合竞价交易市场。

From the end of 20 century to the beginning of 21 century , with the rapid development of bulk commodity market , there has been bulk commodity aggregate auction exchange in the basis of wholesale market , e-commerce , and time-bargain .

实证具体分为两个部分内容，第一部分主要研究集合竞价机制与连续竞价机制对股票收益率的影响，从收益率序列的波动性，正态性以及市场有效性的角度进行分析比较。

There are two parts of this empirical study . The first part of the research mainly study the effect on the stock returns of call auction and continuous auction . The differences between the volatility of the return series , normality and market efficiency have been analyzed and compared .