Testing the effect of technical analysis on market quality and order book dynamics

We find empirical support for the theoretical finding in agent-based models of limit order book markets that the effect of technical trading on market quality is not positive. When signals occur, technical traders lower liquidity as proxied by the relative spread, the effective spread, the realized spread, the dispersion and the slope in the order book. Technical trading is also found to be accompanied by rising volatility. There is overall strong empirical support against the hypothesis that technical trading has no effect on order book dynamics.     

Liquidity supply and adverse selection in a pure limit order book market

This paper analyzes adverse selection costs and liquidity supply in a pure open limit order book market. We relax assumptions of the Glosten/Såndas modeling framework regarding marginal zero profit order book equilibrium and the parametric market order size distribution. We show that using average zero profit conditions considerably increases the empirical performance while a nonparametric specification for market order size combined with marginal zero profit conditions does not. A cross sectional analysis corroborates the finding that adverse selection costs are more severe for smaller capitalized stocks. We also find additional support for one of the central hypothesis put forth by the theory of limit order book markets, which states that liquidity supply and adverse selection costs are inversely related. Furthermore, adverse selection cost estimates based on our structural model and those obtained using popular model-free methods are strongly correlated. This indicates the robustness of the theory-based approach.     

限价委托执行时间分布与市场有效性检验

布朗运动可以看成连续时间的随机游动,从连续交易的角度看,交易价格服从布朗运动的假设等价于市场有效假设.在将股票价格描述为几何布朗运动的基础上,本文从布朗运动首达时的分布推导出限价委托执行等待时间的分布.对实际数据计算出的等待时间样本是否服从布朗运动假设下的等待时间分布进行检验,以此对市场有效性作出判断.检验采用日内交易高频数据,探讨市场微观结构对价格发现的作用.本文采用上海50指数样本股进行实证,得出的结论不支持市场有效性假设.     

浅论限塑令实施效果及对策

塑料袋的过度使用造成了巨大的资源浪费和环境问题,我国于2008年6月1日正式开始实施限塑令。限塑令的实施标志着塑料袋的使用和管理进入规范时代。然而,限塑政策的不完善和限塑令本身的执行和监管都还未能到位,造成集贸市场、小型商场的限塑情况不够理想,人们的环保意识和使用习惯尚未稳固地建立。文章通过分析限塑令的实施现状,尝试探寻完善限塑令的对策,以期能为下一步的限塑行动提供借鉴。     

中国食品市场秩序混乱的成因与对策

中国食品市场秩序混乱的成因有生产者因素、消费者因素、政府监管和食品市场信息不对称等几个方面, 应采取相应的整治对策,如加速生产模式集约化、加强消费者的教育、加强政府监管、充分发挥行业协会的作用、完善有关食品安全的各种法规和技术标准、加大执法力度、降低信息获取成本及建立严格的质量认证体系等,以规范食品市场。     

经济转型、秩序扩展与市场秩序中的制度创新

经济转型引起了市场秩序中的制度变迁,当前所处的经济转型的阶段目标要求市场秩序中的制度创新。市场主体和客体的扩展导致了市场秩序的扩展,这也要求市场秩序的制度创新。市场秩序的制度创新可以从注重制度效率、重视非正式制度的建设和增加诱致性制度变迁的机会等方面来进行。     

Limit order books,uninformed traders and commodity derivatives: Insights from the European carbon futures

This paper provides a suitable model for studying the strategic behavior of uninformed investors that trade commodity derivatives via limit order books. Two main testable implications are obtained after solving for the model equilibrium. The adverse selection costs of uninformed traders depend on the inflow of market orders and their risk aversion. Next, the adverse selection costs of uninformed buyers and sellers and the difference of their asset valuations determine the size of their bid-ask spread.An analysis of European carbon futures data confirms the relevance of these implications. Moreover, we detect a diagonal effect that results in a positive correlation of market orders, which is driven by adverse selection, then by order splitting strategies and by imitative strategies of uninformed traders to a lesser extent.     

Labor market dynamics in urban China and the role of the state sector

This paper studies the effect of state-owned enterprises (SOEs) on the dynamics of the Chinese urban labor market. Using longitudinally matched monthly panel data, we document very low labor force dynamics in the state sector, which leads to a high long-term unemployment rate. We develop and estimate an equilibrium search and matching model with three differences between the state and non-state sectors: labor productivity, labor adjustment cost, and workers’ bargaining power. Counterfactual analysis shows that, among the three channels, reducing the bargaining power of state sector workers is most effective in reducing unemployment duration and unemployment rate.     

Skilled and unskilled wage dynamics in Italy in the 1990s: changes in individual characteristics,institutions, trade and technology

In this paper, we use individual micro data on workers combined with industry and regional data to study the wage dynamics of skilled and unskilled workers in Italy in the 1991–1998 period. In contrast to previous empirical studies, our data make it possible to analyse, within a single framework, the role of many of the factors indicated in the literature as possible determinants of skilled and unskilled wage dynamics: changes in the individual characteristics of workers, changes in labour market institutions, increasing international integration, and skill‐biased technological progress. Our results show that international integration, both in terms of trade in goods and in terms of international labour mobility, plays a role in determining the wage dynamics of skilled (white‐collar) and unskilled (blue‐collar) workers. Moreover, in line with labour economics research, our findings show that the individual characteristics of workers and the institutional variables are more relevant in explaining skilled and unskilled wage dynamics than wage differentials.