统计与管理学院2015年学术报告第27期
【主 题】 Empirical Analysis of Sequential Trade Models for Market Microstructure
【报告人】 Ji Chuanshu 教授
UNC-Chapel Hill
【时 间】 2015年6月25日（星期四）15:00－16:00
【地 点】 上海财经大学统计与管理学院大楼1208室
【语 言】 英文
【摘 要】 Market microstructure concerns how different trading mechanisms affect asset price formation. It generalizes the classical asset pricing theory under frictionless perfect market conditions in various directions. Most market microstructure models focus on two important aspects: (a) asymmetric information shared by different market participants (informed traders, market makers, liquidity traders, et al.) (b) transaction costs reflected in bid-ask spreads. The complexity of those models presents significant challenges to empirical studies in such a research area. In this work, we consider some extensions of the seminal sequential trade model in Glosten and Milgrom (Journal of Financial Economics, 1985) and perform Bayesian MCMC inference based on the TAQ (trade and quote) database in Wharton Research Data Services. Issues in both (a) and (b) are addressed in our study. In particular, the latent process of fundamental asset value is modeled with GARCH volatilities; the observed and predicted bid-ask price sequences are related by incorporating parameters for pricing errors and for informed traders’ impact.
