With high frequency data and the market liquidity depth indicator VNET, the dynamic features and the determinative factors of market liquidity are studied, and the market microstructure theories are verified.
英
美
- 摘要使用超高頻數據，并利用流動(dòng)性深度指標，研究流動(dòng)性的動(dòng)態(tài)特征、影響因素以及檢驗市場(chǎng)微觀(guān)結構理論，結果支持基于信息不對稱(chēng)下的市場(chǎng)微觀(guān)結構理論。
