随着我国股市体量的急剧膨胀，股市震荡对经济发展的影响与日俱增，探究市场波动性的规律并对其准确预判成为当前金融领域亟待解决的重要课题。研究表明，基于限价指令簿的相对流动性指标对市场波动具有显著的预测作用，但该指标的计算方法不适用于高频数据的情况。因此，本项目专门针对高频限价指令簿信息，提出更适合于高频数据的相对流动性指标构造方法，并结合其他流动性指标比较研究我国A股和港股市场上流动性对日内市场波动的影响机制。同时，考虑到异常波动对市场的巨大破坏性，本项目还将研究流动性对以价格发生显著跳跃来界定的异常波动的影响机制，由此即可根据实时的限价指令簿信息来对市场发生异常波动的概率进行预判。研究结果预期将为投资者做出合理投资决策、股市监管部门交易规则的制定提供可靠的参考依据，并达到帮助平抑市场剧烈动荡、控制市场风险的目的。良好的前期研究基础和合理的团队配置将保障项目顺利进行，在短期内取得优异的成果。

With the rapid expanding of China’s stock markets in recent years, the effect of its fluctuation on China’s economy has been steadily on the increase, hence studying the patterns of market volatility and making good forecast becomes an important research project in the present financial field. The literature shows that the predictive power of the relative liquidity, a measure based on the limit order book information, on intraday volatility is significant. However, the computing methodology of this measure is not suitable for the high-frequency data. This project will propose a new methodology to construct the relative liquidity measure which fits the high-frequency situation well. Along with other liquidity measures, a comparative study of the predictive powers of liquidity measures on volatilities between A-share market and the Hong Kong market will be carried out. Besides, due to the destructive effects of abnormal volatility on the markets, this project will also study how the liquidities are related to the future abnormal volatilities, defined by significant price jumps. The research results of this project will present references for investors in making better financial decisions and for regulators in adjusting trading rules, which are helpful in stabilizing the market and controlling the risks. This project can be moved forward smoothly with solid previous research foundations and excellent research team, and outstanding research results can be expected in the coming future.