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分析了耐心交易者行为对价格形成的影响,描述指令驱动市场中基于耐心交易者策略及其规避信息风险的价格形成过程,发现耐心交易者竞争的人数对价差存在显著负指数影响.选取2005.1.2至2005.12.31上证817只股票的高频数据作为样本,验证了竞争人数对价差的负指数影响,同时验证了价格形成过程的合理性.对EKOP模型中资产期望价格做了修正.
The impact of patient traders ’behavior on price formation is described, the price-forming process of patient-driven traders based on patient traders’ strategies and the risk aversion of information are described in the instruction-driven market, and it is found that there is a significant negative index effect on the spread between patient traders. 2 to 2005.12.31 The high frequency data of 817 Shanghai Stocks were used as a sample to verify the negative index effect of the competition number on the spread and to verify the rationality of the price formation process.The asset price expectation in the EKOP model was amended.