基于价格极值构建有效价差的广义矩估计

doi:10.12005/orms.2017.0056

运筹与管理 ›› 2017, Vol. 26 ›› Issue (3): 43-53.DOI: 10.12005/orms.2017.0056

基于价格极值构建有效价差的广义矩估计

高扬, 王超

北京工业大学经济与管理学院,北京 100124

收稿日期:2016-01-04 出版日期:2017-03-25
作者简介:高扬(1988-),女,山东烟台人,博士,讲师,研究方向:金融市场微观结构、金融结构;王超(1986-),通讯作者,男,山东枣庄人,博士,讲师,研究方向:金融系统工程与运营管理。
基金资助:
国家自然科学基金资助项目(61273230,61603010,61603011);中国博士后科学基金项目(2015M580033,2015M580940)

Construction of Generalized Method of Moments of Effective Spread Estimators based on Price Ranges

GAO Yang, WANG Chao

School of Economics and Management, Beijing University of Technology, Beijing 100124, China

Received:2016-01-04 Online:2017-03-25

摘要/Abstract

摘要： 基于Corwin和Schultz(2012)提出的有效价差的High-Low估计,结合价格极值信息得到新的一阶矩条件,构造了有效价差的广义矩估计。随后通过随机数值模拟比较了基于价格极值的广义矩估计(GMM)与Roll的协方差估计、Bayes估计以及Corwin和Schultz的High-Low估计在多种不同状态下的估计精度。数值模拟结果显示,无论在交易连续的理想状态下还是交易不连续且波动率相对不高的非理想状态下,GMM估计的精度均高于其余三种估计;基于我国股票市场的实例分析,也表明GMM估计的估计精度优于其余三种估计。因此,GMM估计为度量金融资产的交易成本提供了一种有效方法。

关键词: 流动性, 买卖价差, 波动率, 价格极值

Abstract: This paper combines the information from daily high and low prices and constructs the new estimators for the effective bid-ask spread by the Generalized Method of Moments(GMM)based on the High-Low estimator proposed by Corwin and Schultz (2012). Then the numerical simulation studies are conducted to compare the estimation accuracy between the GMM estimators based on price ranges and other three common spread estimators in the literature, namely the Roll covariance estimator, Bayes estimator and High-Low estimator. Simulation results reveal that whether in the ideal case that the prices can be observed continuously or in the realistic unideal case and the volatility is relatively small, GMM estimators are more accurate than the other three estimators. Furthermore, an empirical study in Chinese stock markets also demonstrates that the estimated accuracy of the proposed GMM estimators is better than the other three estimators. Therefore, the proposed GMM estimators provide an effective method to measure the trading costs of financial assets.

Key words: liquidity, bid-ask spread, volatility, price range

中图分类号:

F830.9

高扬, 王超. 基于价格极值构建有效价差的广义矩估计[J]. 运筹与管理, 2017, 26(3): 43-53.

GAO Yang, WANG Chao. Construction of Generalized Method of Moments of Effective Spread Estimators based on Price Ranges[J]. Operations Research and Management Science, 2017, 26(3): 43-53.

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基于价格极值构建有效价差的广义矩估计

Construction of Generalized Method of Moments of Effective Spread Estimators based on Price Ranges

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