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即时交易行情又称市场透明性,它会吸引交易者的注意力,使交易者的定价决策紧紧跟随行情,从而丧失投资决策的独立性。使用上海证券市场指令数据进行实证,发现大量指令的委托价格都聚集在指令簿揭示窗口内,窗口越窄吸引力越强,价格波动越小吸引力越大,价格波动幅度如果大致在揭示窗口内时,交易者就把这种价格波动理解为噪声。由于即时行情的刷新速度快于交易者的处理能力,损害了市场信息的处理效率,建议每个交易日设定更多的暂停交易时间段,如每隔一个小时暂停15分钟,以提高市场价格形成的有效性。
Instant trading, also known as market transparency, attracts traders ’attention and traders’ pricing decisions closely follow the market, losing the independence of investment decisions. Empirical evidence using the Shanghai stock market order data found that a large number of orders entrusted prices are gathered in the instruction book reveal window, the narrower the window the more attractive, the less volatile the greater the attraction, the price volatility if roughly within the disclosure window When the trader put this price fluctuations understood as noise. As real-time quotes are refreshed faster than traders’ processing power and the processing efficiency of market information is impaired, it is advisable to set more pause time periods for each trading day, such as suspending every 15 minutes for one hour to increase the market price The effectiveness of the formation.