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从订单分布假设出发,构建了一个庄家和散户这两类交易者在封闭式集合竞价中的交易意愿和订单策略模型.该模型表明,散户不愿意参加封闭式集合竞价交易,或者需要较高的风险补偿;由于散户的不愿意交易或有较高风险补偿要求,庄家难以在集合竞价时实现自己正常的获益策略,因此,趋向于采取集合竞价价格操纵策略.文章应用上海证券交易所的分笔订单和交易数据实证检验了理论分析的结果,并提出了改进我国沪深市场开盘集合竞价的政策建议.
Based on the assumption of order distribution, a trading willingness and order strategy model of closed-end bidding between dealer and retail investor is constructed, which shows that retail investors are not willing to participate in closed-end bidding auction or need higher Risk compensation: Because of the unwillingness of individual investors to trade or the high risk compensation requirements, the bookmakers are difficult to realize their normal profit-making strategies when they gather the bids and therefore tend to adopt the collective bidding price manipulation strategy.The article uses the points of the Shanghai Stock Exchange Pen order and transaction data empirically test the theoretical analysis of the results and put forward to improve China’s opening up the market in Shanghai bidding policy recommendations.