| The fundamental basis for formulating trading strategy is information. As themicrostructure carrier of information, order flow contain the amount of informationthat belong to the investors, excepted return and trading preference, which is theconcentrated expression of the investors in the asset value judgments, effecting theprocess of asset price discovery in financial market. Therefore analyzing the mode ofthe impact of micro-trade information on price behavior is important to reveal themechanism of price discovery. Based on the theory of market microstructure andinformation detection, the paper explores the structural features of the intraday tradinginformation contained in the order flow, and its impact on the behavior of asset priceand market risk management. The detailed content is as follows:Study on the update of trade arrival rate and innovation digestion. According tothe characteristic of short-sale constraint in Chinese stock markets, we import thefactor of short-sale constraint into the trade arrival rate updating model with GARCHstructure so as to improve the applicability of the model in Chinese stock market.Then based on the intraday features of order flow, we extend the model to the intradaytemporal dimension, and research the process that informed and uninformed traderslearn the order information and adjust the trading behavior in the intraday level.Furthermore, study the multi-term impact feature of unexpected order innovation onthe trsde arrival rate. Thus carry out comprehensive and systematic analysis of theintraday information structure of the order flow.Study on the influence of intraday information on the asset price behavior whichincludes market liquidity and price movement.For the market liquidity: firstly, we combine the EKOP model and trade arrivalrate updating model to measure the level of intraday asymmetric information instantly,analyze the effect of market efficiency revealed by traded order flow on liquidity.Then, based on the fact that price volatility reflects the information game, we usequote volatility as quote information, build dynamic panel model to investigate theeffect of intraday quote information on liquidity in each tiers, in order to reflect thebehavior features of submitting orders from the view of the limit order book.For the price movement: we construct the three-state asymmetric ACD model toconnect the micro-trade information and price movement by the basic constituent ofeach traded order which is volume, direction and duration. Then, we use UHF data research the mode of the dynamic impact of micro-trade information on consecutiveprice movement. Furthermore, we induce the formula of instantaneous volatility byprice decomposition model, and simulate the path of intraday instantaneous volatilityby parameter bootstrap method, so as to study the impact mode of micro-tradeinformation on instantaneous volatility. Thus carry out the dynamic effect of instantorder information on price movement precess from the aspect of micro-trade.Study on rsik management with asymmetric structure of return. Based on theskewed distribution of return and the leverage effect of price volatility, we useintraday high-frequence trade information combined with the characteristics ofshort-sale constraint to depict the asymmetric structure of return, in order to constructVaR and ES model in line with trading mechanism and asymmetric structure of returnin Chinese stock markets, also enrich and improve the financial risk managementmethods. |
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