| 摘要(英) |
Trading mechanisms of global securities trading market currently are classified into two market constructions, order driven market and quote driven market, respectively. In our thesis, we explored the dynamic process of order driven market, and quoted the dynamic stochastic model on limit order books proposed by Cont et al. (2010), by which we simulated the dynamic process. Among this, order flows of limit orders, market orders, and cancellations are depicted by independent Poisson process. However, there exits some significant differences between our results and real markets when analyzing the process of simulation, that is, number of cancellations is much more than number of newly placed limit orders in limit order books during unit time interval. Therefore, based on Handa and Schwartz (1996) and Chen et al.(2010), we proposed a modified model to replenish the adequate quantities to balance the liquidity in the market by adding function similar to a curve of gamma distribution on arrival rate function of limit order. At last, we test the simulation on modified model and analyze the dynamic process of limit order book, from which the relation between prices and volumes can be observed. Furthermore, quantified analysis was executed in terms of buying and selling pressure to propose affective trading indices on limit order books, then used these indices to construct some methods for trading strategies, and adopted market VWAP as our criteria of trading strategies. |
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