Estimation of liquidity-providing costs with tick-by-tick transaction data

利用逐笔交易数据估算流动性提供成本

• 批准号: 13630107
• 负责人: TANIGAWA Yasuhiko
• 金额: $ 2.24万
• 依托单位: Osaka University
• 依托单位国家: 日本
• 项目类别: Grant-in-Aid for Scientific Research (C)
• 财政年份: 2001
• 资助国家: 日本
• 起止时间: 2001 至 2002
• 项目状态: 已结题
• 来源: https://kaken.nii.ac.jp/grant/KAKENHI-PROJECT-13630107/
• 关键词: Tick Data; Market Liquidity; Limit Order; Market Order; Execution Probability; ティックデータ

We study the roles of securities houses in the Tokyo Stock Exchange (TSE) as a market maker who provides liquidity to the market. Although there is no designated market maker in the TSE, securities houses interfere with transactions through buying and selling on their own account in order to earn profit. With tick-by-tick data that record all transactions and the changes in the limit order book, we capture the cost of such profit-oriented, liquidity providing activities.The TSE is a pure order-driven market. Executions are carried out by matching limit orders with incoming market orders. The former type of orders is ones that have been placed on the book with a designated limit price, but they have any guarantee for execution. The latter type has no specified execution price, but will be executed immediately if there are limit orders waiting. When investors choose a type of an order, they weigh the price gain versus the possible loss of trading opportunity. We estimate execution probabilities of limit orders to find evidences that traders well understand the implications of the factors of limit orders that affect the priorities for their execution. We present the results at an international conference (Omura, Tanigawa, and Uno [2001]), and published as a chapter in a book (Uno et al.[2002]). The relationships between market liquidity and characteristics of market microstructure are surveyed in Tanigawa [2002].Lunchtime basket trades deserve special investigation, for securities houses always interfere to provide market liquidity. We examined the competition in the lunchtime auction and the following transactions for the stocks traded at the auction, to find liquidities on the TSE floor are the most important factor for aggressiveness of the securities houses. After presenting this result at an academic conference, we are now in the process of preparation for submission with revised results.

我们研究了东京证券交易所(东京证券交易所)证券公司作为为市场提供流动性的做市商的角色。虽然东京证交所没有指定的做市商，但券商为了赚取利润，通过自营买卖干预交易。通过记录所有交易和限价指令账簿变化的逐笔交易数据，我们计入了这种以利润为导向、提供流动性的活动的成本。东京证交所是一个纯粹的订单驱动型市场。执行是通过将限价指令与进入的市场指令进行匹配来进行的。前一类订单是已经在账面上设定了指定限价的订单，但它们有任何执行的保证。后一种类型没有具体的执行价格，但如果有限价单等待，将立即执行。当投资者选择一种类型的订单时，他们会权衡价格收益与可能失去的交易机会。我们估计了限价指令的执行概率，以寻找证据表明交易者很好地理解了影响其执行优先级的限价指令因素的含义。我们在一次国际会议(大村、谷川和Uno[2001])上展示了这一结果，并将其作为书中的一章出版(Uno等人[2002])。Tanigawa[2002]研究了市场流动性与市场微观结构特征之间的关系。午餐时间篮子交易值得特别研究，因为证券公司总是干预提供市场流动性。我们考察了午间拍卖的竞争情况，以及拍卖中交易的股票的以下交易情况，发现东京证交所场内的流动性是券商积极进取的最重要因素。在一次学术会议上公布了这一结果后，我们现在正在准备提交修订后的结果。

项目成果

谷川寧彦: "マーケット・マイクロストラクチャーと流動性"斎藤・柳川(編著)『流動性の経済学』. 第7章. 181-208 (2002)

Yasuhiko Tanikawa：“市场微观结构和流动性” Saito 和 Yanakawa（编）《流动性经济学》第 7 章。181-208 (2002)。

K. Omura, Y. Tanigawa, and J. Uno: "Execution Probabilities of Limit Orders on the Tokyo Stock Exchange"MODSIM 2001 Proceedings. vol.3. 1583-1588 (2002)

K. Omura、Y. Tanikawa 和 J. Uno：“东京证券交易所限价订单的执行概率”MODSIM 2001 Proceedings。

J. Uno, K. Omura, Y. Tanigawa: "Execution Probabilities of Limit Orders on the Tokyo Exchange Stock(in Japanese)"Advanced Theories on Asset Management, Sasai and Asano eds, Nihonkeizai Shinbunsya.Asano eds.. Chap.5. 127-155 (2002)

J. Uno、K. Omura、Y. Tanikawa：“东京证券交易所股票限价指令的执行概率（日语）”资产管理高级理论，Sasai 和 Asano 编辑，Nihonkeizai Shinbunsya.Asano 编辑.. 第 5 章。

谷川 寧彦: "マーケット・マイクロストラクチャーと流動性"斎藤・柳川(編著)『流動性の経済学』. 第7章. 181-208 (2002)

Yasuhiko Tanikawa：“市场微观结构和流动性” Saito 和 Yanakawa（编）《流动性经济学》第 7 章。181-208 (2002)。

宇野淳, 大野敬一, 谷川寧彦: "指値注文の執行確率"笹井・浅野(編著)『資産運用の最先端理論』. 第5章. 127-155 (2002)

Jun Uno、Keiichi Ohno、Yasuhiko Tanikawa：“限价订单的执行概率”Sasai 和 Asano（编辑），《资产管理前沿理论》第 5 章。127-155 (2002)。