金融工程與財務(wù)管理4-文庫吧資料
2025-07-03 07:37本頁面
【正文】 w in the Paris Bourse. Journal of Finance, 1995, 50(4): 1655–168912 Hamao Y, Hasbrouck J. Securities trading in the absence of dealers: Trades and quotes in the Tokyo Stock Exchange. Review of Financial Studies, 1995, 8(3): 849–87813 Hedvall K. Niemeyer J, Rosenqvist G. Do buyers and sellers behave similarly in a limit order book? A highfrequency data examination of the Finnish Stock Exchange. Journal of Empirical Finance, 1997, 4: 279–29314 Lehmann B N, Modest DM. Trading and liquidity on the Tokyo Stock Exchange: A bird’s eye view. Journal of Finance, 1994, 48(4): 1595–162815 Niemeyer J, Sandas P. An empirical analysis of the trading structure at the Stockholm Stocks Exchange. Journal of Multinational Financial Management, 1993, 3:63–101Study on Securities Markets liquidity in ChinaLiu Hailong, Wu Chongfeng(Management School, Shanghai Jiaotong University, Shanghai 200030)Abstract In the first place, the present researches situations for the securities markets liquidity are introduced. Then, putational algorithms for some indicators of the market liquidity with quotadriven trading mechanism are given, which include depth, width, resiliency and impact. Based on these researches, putational algorithms for the corresponding indicators with orderdriven trading mechanism are put forward. Finally, we study on securities markets liqu
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