JOURNAL OF EMPIRICAL FINANCE，VOL48 ,SEPTEMBER 2018

相对价差和价格发现

作者：Eric M. Aldrich (University of California)

Seung Lee (University of California)

摘要：本文研究了相对最低价格增量对在不同交易场所的单一资产价格发现的重要性。本文的模型将相对价差与定向信息流相关联，并得到一系列可检验的推论。虽然传统观点认为期货价格引领股票，但本文的模型预测，当每种资产的出价和报价满足特定的相对价格条件时，情况应该相反。本文构建了一种价格发现的实证方法，适用于异步、高频金融数据并检验模型预测。实证证据强烈支持相对价差机制。

关键词：市场微观结构，市场设计，高频交易

Relative Spread and Price Discovery

Eric M. Aldrich (University of California), Seung Lee (University of California)

ABSTRACT

We establish the importance of relative minimum price increments for price discovery in the context of a single asset trading at diverse venues. Our model relates relative spreads to directed information flows and begets a set of testable implications. Although conventional wisdom dictates that futures prices lead equities, our model predicts the opposite should be true when particular relative price conditions hold for the bids and offers of each asset. We develop an empirical measure of price discovery which is suited to asynchronous, high-frequency financial data and test the model predictions. Empirical evidence strongly supports the relative spread mechanism.

Keywords: Market Microstructure，Market Design，High-frequency Trading

原文链接：

https://www.sciencedirect.com/science/article/abs/pii/S0927539818300458#!

翻译：王秭越