قواعد تجربی سفارش دادن در بازار بورس چینی

Using ultra-high-frequency data extracted from the order flows of 23 stocks traded on the Shenzhen Stock Exchange, we study the empirical regularities of order placement in the opening call auction, cool period and continuous auction. The distributions of relative logarithmic prices against reference prices in the three time periods are qualitatively the same with quantitative discrepancies. The order placement behavior is asymmetric between buyers and sellers and between the inside-the-book orders and outside-the-book orders. In addition, the conditional distributions of relative prices in the continuous auction are independent of the bid–ask spread and volatility. These findings are crucial to build an empirical behavioral microscopic model based on order flows for Chinese stocks.

We have investigated the distributions of relative prices of orders placed in the opening call auction, cool period and continuous double auction using ultra-high-frequency data reconstructed from the quotes database and the trades database of 23 stocks traded on the Shenzhen Stock Exchange within the whole year 2003. The results for individual stocks are similar to one another, which allows us to aggregate all 23 stocks for analysis. The distributions in the three time periods exhibit common properties and idiosyncratic features. During the three time periods, the probability density function reaches the maximum at x=0x=0, which means that a large proportion of orders are placed on the same best price. The distributions are asymmetric between buy orders and sell orders in each period. In addition, each distribution is asymmetric to the same best price x=0x=0 and there are more orders placed inside the book (x<0x<0). More interestingly, all the distributions are heavily influenced by the idiosyncratic trading rule of 10% price fluctuation limit, which induces kinks around x=±0.1x=±0.1. The distributions of large relative prices beyond the kinks decay faster than in the bulks in exponential forms. We have also studied the dependence of the distributions with respect to the bid–ask spread and volatility in the period of continuous auction, taking a very liquid stock (000001) as an example. We found that the distributions of relative prices are independent of the bid–ask spread and volatility.