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dc.contributor.author王志强
dc.contributor.author陈培昆
dc.date.accessioned2017-11-14T01:05:26Z
dc.date.available2017-11-14T01:05:26Z
dc.date.issued2006-06-10
dc.identifier.citation证券市场导报,2006,(06):33-40
dc.identifier.issn1005-1589
dc.identifier.otherZQDB200606007
dc.identifier.urihttps://dspace.xmu.edu.cn/handle/2288/138124
dc.description.abstract买卖价差构成是市场微观结构理论的重要组成部分。本文根据文献发表时间和文献之间的逻辑关系,对买卖价差构成理论的相关文献进行全面、系统的回顾和评述。作者将买卖价差构成的相关文献分为理论研究和实证研究两部分:在理论研究部分,系统回顾了买卖价差的存货模型和信息模型;在实证研究部分,根据市场交易机制的不同,分别介绍、评述报价驱动市场和指令驱动市场的买卖价差成分分解模型。
dc.description.abstractFormation of price spread is an important part of theory on micro-market structure. The author makes a comprehensive and systematic review on papers relating to this topic,a ccording to classification on theoretical and empirical basis. The theoretical session relates to inventory module and information module on price spread, while the empirical session introduces and clarifies the decomposition modules of quote-driven and order-driven markets in different tradings ystem.
dc.description.sponsorship教育部人文社会科学研究博士点基金资助项目:“信息对我国证券市场价格生成过程影响研究”,项目编号:03JB630017;; 国家自然科学基金资助项目,项目编号:70472048。
dc.language.isozh_CN
dc.subject买卖价差
dc.subject存货持有成本
dc.subject信息成本
dc.subject指令处理成本
dc.subjectprice spread
dc.subjectinventory maintenance cost
dc.subjectinformation cost
dc.subjectorder execution cost
dc.title买卖价差构成理论研究综述
dc.title.alternativeTheoretical Review of Price Spread Formation
dc.typeArticle


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