Research On Market Liquidity In Heterogeneous Information Order-Driven Market Based On Order Submission Strategy

The theory of financial market microstructure is to research on the assets trading process and market operational mechanism under special trading rules in which information and liquidity are two important problems. Based on the two aspects above, this article considered liquidity from the view of heterogeneous information investors, analysed the characteristics and then considered the order submission strategy of heterogeneous information investors in the order-driven market, researched the intrinsic mechanism of liquidity appears, and then researched the problem of order imbalance which caused by the investors'behavior of adjusting order strategy based on acquired information. On the foundation, the article pay attention on the asymmetric degree of stock information in the market involving in the investors'order strategy and imbalance, that is the probability of information. At last, this article researches on degree of trading information disclosure, which is trading transparency, and then conducts empirical research using high frequency trading data in China order-driven market. Attempt to provide theoretical basis for building faire, efficiency and well liquidity market.This article defined the meaning of heterogeneous information from the market microstructure point of view, and then researches the liquidity characteristic, supplying mechanism and influence factors in the order-driven market which differ from quote-driven market. Considering the market liquidity on the opinion of heterogeneous information investors, analyses the investors'different order type in the market, builds the submission strategy model in the order-driven market, analyses different type investors'order execution period and the influence among different investors'order type, study the game among investors'order strategy, analyses the liquidity effect appears from the investors'order submission strategy.And then, in this article, we research the problem of order imbalance which caused by the investors'behavior of adjusting order strategy based on acquired information. Investigate the liquidity based on the investors'buy and sell order imbalance, and then bring forward there methods to measure investors'buy and sell order imbalance based on the definition of buy and sell order imbalance. Empirical analysis is made on securities return and liquidity based on investors'buy and sell order imbalance using high frequency trading data of Shanghai A-share market in 2006. Also empirical research is carried on the relationship among trade size, order imbalance and stock liquidity.In the process of trading, to acquire information is the key for investor's order submission strategy. The trading appears as the form of order imbalance can help investors to infer the assets value information which is unknown to them before. Buy and sell order imbalance also imply the asymmetric degree of stock information in the market, while the probability of informed trading can act as the proxy variable of he scale of asymmetric trading information. Based on the foundation, this article further develops a new model of calculating the probability of informed trading in the heterogeneous information order-driven market, which analyses investors'trading motivation, study how to judge the problem of the probability of informed trading from acquired public information on the foundation of investors'order choose. Then evaluate the uninformed traders'order and informed traders'order of intraday transaction event, put forward the corresponding formula of the probability of informed trading in the order-driven market, and then do empirical test using China intraday transaction data.Finally, this article considered the meaning trading transparency. According to the relative trading position, we can divide into pre-trade transparency and post-trade transparency. Research on trading information disclosure and market liquidity effects, investigate the market intraday effect of the changing pre-trading transparency and then do empirical test on changing of real time buy and sell trading disclosure mechanism using Shanghai Stock Exchange high frequency trading data. Analysed the post-trade transparency, and then pointed out that it can supply fair and well trading enviorment and improve market quality through building normative and modest post-trade transparency sytem.