开放式集合竞价

封闭式与开放式集合竞价机制下的价格发现分析

Price Discovery of the Close-and-open Call Auction Mechanism

基于少数者博弈的可撤单模式的开放式集合竞价研究

Study on Open Call Auction with the mode of order cancellation Based on Minority Game

摘要采用金融市场微观结构理论的方法在理性预期的框架下研究了只允许提交限价指令情形下的封闭式集合竞价与开放式集合竞价的价格发现过程。

In the paper , we use the method of financial market microstructure theory to study the price discovery process of close-and-open call auction with limited order in the framework of rational expectation .

通过分析交易者提单行为的变化，本文在理性预期框架下构建了开放式集合竞价的均衡价格模型，并与封闭式集合竞价相比较。

By analyzing the behavior changes when traders submit orders , this dissertation develops a rational expectation equilibrium model in the open-call auction market , which is compared with that in the close-call auction market .

研究结论表明，若所有的投资者都是理性的，无论采用封闭式集合竞价还是开放式集合竞价，那么均衡价格均是风险资产真实价值的无偏估计量。

The results indicate that if all the investors all full rational , the equilibrium price , whether using close call auction or open call auction , is the unbiased estimator of the risky assets true value .