ֻ13जֻ10௹ܵ ॓ ࿐ ࿐ Б 2010୍10ᄅ JOURNALOFMANAGEMENTSCIENCESINCH ৵࿃ᆷ౺൧ӆ֥ྐ༏ࢌၞۀੱ:၂ᇕྍ֥ٚم 李广川1,2,刘善存1,邱菀华1(1.Кࣘݴॢݴ฿ն࿐ࣜ࠶ܵ࿐ჽ,Кࣘ100193;2.ധᎪᆣಊࢌၞ෮,ധᎪ518010)ᅋေ:通过构造 成交积极性!变量,提出了一种在连续竞价指令驱动市场中估计信息交易概率的新方法,运用有序probit方法和马尔科夫转换技术对模型进行了估计.对该方法与基于PIN框架的经典信息交易概率模型进行比较分析,同时研究了信息交易概率和资产收益波动a报价价差a成交持续期之关系的日内效应.研究结果发现,模型较之基于PIN框架的经典信息交易概率模型对价差具有更好的解释力;信息交易概率和资产收益波动a报价价差a成交持续期等股票交易特征之关系具有显著的日内效应.该结论经过面板回归模型检验具有稳健性.ܱՍ:指令驱动连续竞价市场;信息交易概率;交易特征;日内效应ᇏٳোݼ: ໓ངѓ്:A ໓ᅣщݼ:1007-9807(2010)10-0008-130 ႄ ྐ༏҂ؓӫࣉྛҩ؇,ೂHuangބ[5]Stoll,໓ڂ֩[6]֩.ྐ༏ࢌၞۀੱ൞၂ᇕޙਈᆣಊ൧ӆྐ༏҂ؓႿࡗࢤҩ؇֥ಌཊ,࿐ᆀૌषӇ൫࿙ᅳӫӱ؇֥ᆰࢤҩ؇,ᆷ෮ႵӮࢌ֥ࢌၞᇏᆩ౦ᆀྐ༏҂ؓӫ֥ᆰࢤҩ؇.E[7]asley,ิԛ֥ྐҕࡆࢌၞ෮ᅝ֥бੱ∀.၂ᆰၛট,؇ਈྐ༏҂ؓ༏ࢌၞۀੱଆ(ࠧPINଆ)൞ఃᇏޓႵ႕ཙӫӱ؇֥նཬӮູࣁವ൧ӆັܴࢲܒਵთ֥ᇗေ৯֥۽ቔ.ھଆ০Ⴈቓ൧അૄರ൬֥֞ઙછଁี#ກᆷੀ۱ඔ,ູૄᆺܢௐૄ࠱؇࠹ෘԛ၂۱ྐ.ᄪ௹֥࣮नၛ࿙ᅳսэਈ֥ٚمؓྐ༏҂ؓӫࣉྛࡗࢤҩ؇.২ೂ,JaffeބWink ༏ࢌၞۀੱᆴ.QinLeiބW[8]uॉ੮ਔ҂ࢌၞ[2]ler֩ಪູઙછࡎҵॖၛቔູྐ༏҂ؓӫӱ؇ᆀ൧ӆ֞ղ఼؇֥ൈэหྟࡼھଆঔᅚ֞ऎႵ֥ࡥֆս֩֩.ݓଽ࿐ᆀ֥࣮Їও,ລၪ߰ൈэหྟ֥ྐ༏ࢌၞۀੱҩ؇.ޓ؟ު࿃۽֩[3]ၛБࡎࡎҵაࢌၞࡎҵᆭࡗ֥ҵၳቔູྐቔ[9-12]ࢹႨھଆॿࡏҩ؇ਔᆷ౺൧ӆഈ༏҂ؓӫӮЧ֥սэਈ.Խڂބဉ[4]ၛࢌ֥ྐ༏ࢌၞۀੱ.ಖط,ႮႿھোଆ൞ࠎႿБࡎၞܿଆބაྐ༏൙ࡱႵܱ֥ࢌၞൈ௹ቔູؓࢌၞ౺൧ӆ֥,ᄝႋႨႿᆷ౺൧ӆൈ,߶მ֞ᇏྐ༏֥؇ਈ֩.սэਈቔູ၂ᇕࡗࢤҩ؇֥ກᆷੀ҂ିӮࢌ֥ڄག໙ี.ھোଆ֥ਸ਼၂ಌׄᇶေᄝႿ ᄮലྐ༏!֥թᄝ,ࠧսэਈݣ۱अཋ൞ေႵቀܔ֥ࢌၞඔऌބൈࡗ௹ཋ,ႵԢᆇൌࡎᆴྐ༏ၛຓ֥ᄮലྐݼ.২ೂ,҂ഒ࿐֒ൈࡗࡗۯэཬൈ,หљ൞ॉ੮ૄ၂гࢌၞൈ,ྐᆀࡼࡎҵࣉྛٳࢳ,ᆺႨఃᇏ֥ཟ࿊ᄴӮٳؓ༏ࢌၞۀੱࢠФෘԛ,ၹՎᄝൈࡗਙٚ૫֥ ൬۠ರ௹:2008-01-17;ྩרರ௹:2009-12-25.ࠎࣁཛଢ:ݓࡅሱಖ॓࿐ࠎࣁሧᇹཛଢ(70871002;70671006);ಆݓႪྮѰൖ࿐໊ં໓ቔᆀህཛࠎࣁሧᇹཛଢ(200466).ቔᆀࡥࢺ:ܼԫ(1982∃),ଳ,ފК٘ದ,Ѱൖ,ധᎪᆣಊࢌၞ෮Ѱൖު.Emai:@∀۬ၩၬഈ,෮Ⴕิࢌרֆᇏྐ༏ࢌၞᆀ෮ิࢌ֥רֆбੱ۷ିّႋ൧ӆྐ༏҂ؓӫ֥ӱ؇.൞,ႮႿඔऌ֥҂ିࠆ౼ބᆷྩڿaӜཧ֩گᄖၹ႕ཙ֩ჰၹ,Ч໓෮࣮֥ྐ༏ࢌၞۀੱऊࢊႿ෮Ⴕ"ࢌၞ"ᇏູྐ༏ྟࢌၞ֥б২.൙ൌഈ,ᆃ္൞ଢభधն҆ٳྐ༏ࢌၞۀੱ໓ང෮܋ܱᇿ֥࢘؇.#ܱႿ൧ӆັܴࢲܒં,ҕ໓ང[1]۳ԛ֥ሸඍ.
ֻ10௹ܼԫ֩:৵࿃ᆷ౺൧ӆ֥ྐ༏ࢌၞۀੱ:၂ᇕྍ֥ٚم∃9∃ႋႨѩ҂ܼ.ٗྐ༏ࢌၞۀੱაФ࿐ᆀૌܼٗᄎႨ֥PINଆࠣႿPINଆ֥ഈඍಌཊ,Nyholm[13]ิԛਔఃঔᅚൈэTPINଆࣉྛਔбࢠٳ༅.๙ݖؓ၂۱ྍ֥ଆ,ھଆॖၛܙෘԛૄ၂гࢌၞඋ҂ࡎҵ֥ࢳି৯ࣉྛٳ༅ؿགྷ,ࠎႿଆܙႿྐ༏ྟࢌၞ֥ۀ,ੱൈ္ܿхਔກᆷੀ࠹֥ྐ༏ࢌၞۀੱཌྷؓႿPINބTPINऎႵ۷ݺ҂ିӮࢌ֥ڄག໙ี.ھଆ֥ᇶေනམ൞,ቓ൧֥Ⴕིྟބࢳ৯.അ߶ᄝ؎ഈ၂гӮࢌ֥ઙછٚཟބࢌၞᆀোᄝՎࠎԤഈ,ࣉ၂҄ॉҰਔྐ༏ࢌၞۀੱა֥ࠎԤഈ,ؓБࡎᇏׄࣉྛ҂֥טᆜ,ၛ՜Ӯ༯ሧӁ൬ၭѯaБࡎࡎҵބӮࢌӻ࿃௹ᆭܱ༢֥၂гӮࢌ[14].Ma,ᄎႨ၂۱োර֥ଆॿರଽིႋ.ၘႵ࣮іૼ,ܢௐࢌၞหᆘສສऎႵࡏ࣮ਔຖܢௐ൧ӆ֥ྐ༏ࢌၞۀ,ੱఃଆૼཁ֥ ರଽིႋ!,ࠧ၂฿֒ᇏଖ؍ൈࡗଽ֥ᆴࡏܒනམູ,ૄгӮࢌࡎ߶ၹӮࢌ൞ڎඋႿྐ༏ૼཁֹၳႿఃൈࡗଽ֥ᆴ[16-19].ྸ؟࿐ᆀಪູྟࢌၞطࣉྛ҂֥טᆜ,طӮࢌਈॖၛቔູԮྐ༏ྟࢌၞ൞ႄؿ ರଽིႋ!֥၂۱ᇗေၹ.־ྐ༏ਈ֥эਈ.ݓଽ࿐ᆀ֨aീת[15]ᄵࠎ২ೂ,McinishބW[13]ood֥࣮ಪູБࡎࡎҵ֥Ⴟোර֥ॿࡏ؇ਈਔᇏݓܢ൧֥ྐ༏ࢌၞۀੱ.ರଽིႋটሱႿႵྐ༏[20];AdmatiބPfleidererᄝॉ੮ཞᇏݓܢௐ൧ӆᆃဢ֥৵࿃ࣩࡎᆷಪູሧӁࡎ۬ѯ֥ರଽིႋაྐ༏ࢌၞᆀ֥ࢌ౺൧ӆൈ,ᆰࢤႋႨഈඍॿࡏॖି߶֝ᇁհ༂ၞҦႵܱ;E[21]asleyބO&Hara֩ᆷԛ,Ӯࢌӻ֥؎.൮,༵൧ӆࢌၞࠏᇅ҂.Nyholm[13]ิԛ࿃௹֥Ӊ؋აྐ༏֥Ⴕࠣݺߊ֩Ⴕ,ܱࡗࢤі֥ଆᇶေᆌؓБࡎ౺൧ӆ,ᄝႋႨႿᆷ౺ૼӮࢌӻ࿃௹֥ರଽིႋॖିაರଽྐ༏ٳ֥҃൧ӆൈဢ߶მ֞ກᆷੀ҂ିӮࢌ֥ڄག҂नႵ.ܱݓଽ࿐ᆀޅӴ႖֩[22]࣮ؿགྷཟ࿊໙[15.ีM]a,ิԛ֥ଆᄵൡႨႿཞຖܢௐ൧ӆପဢ֥৵࿃ࠢކࣩࡎᆷ౺൧ӆ%ᄴӮЧ֥ರଽଆൔӯ L!,ྙېषൈࢌၞࠃ.۷ᇗေ֥൞,ਆଆ֥ܙ࠹ٚم҂ൡކ৵࿃ࣩࡎᄁ֥ᇶေჰၹ൞ྐ༏ྟࢌၞ.ಖط,ᆃུ࣮ѩીᆷ౺൧ӆ.ਆᇕଆٳљၛБࡎࡎҵᇏ໊ඔႵടࠣྐ༏ྟࢌၞაܢௐࢌၞหᆘᆭܱ༢൞ڎऎ֥טᆜބӮࢌࡎ֥טᆜቔູ൧ӆؓྐ༏ਈࣉྛّႵ ರଽൈэྟ!.Ч໓ᄎႨקਈٚم࣮ਔ۲۱ঌ֥࣮эਈ,ႮႿቋཬБࡎֆ໊֥թᄝ,ؽᆀ൙ࢌၞหᆘაྐ༏ࢌၞۀੱᄝರଽ҂ൈࡗࡗ֥ൌഈ൞эਈ,طਆᇕଆູૌڮჍ৵ཌྷܱྟ,ѩႨྙ૭ਔᆃᇕཌྷܱྟ֥ರଽэ߄࿃ٳ҃ࡆၛܙ࠹,ᆃᄝඔऌ߄ᇗ֥৵࿃ࣩหᆘ.ࢲݔಒൌؿགྷ,ྐ༏ࢌၞۀੱაܢௐࢌၞหࡎᆷ౺൧ӆႭູ҂ൡႨᆘ҂ࣇऎႵཌྷܱ,ྟطऎႵૼཁ֥ರଽིႋ..ᆌؓھ౦ྙ,ิԛ၂۱ᄝ৵࿃ࣩࡎᆷ౺൧ӆᇏܙ࠹ྐ༏ࢌၞۀੱ֥ଆ.൮,༵ܒᄯ၂۱1 ଆࠣྐ༏ࢌၞۀੱູ Ӯࢌࠒࠞྟ!֥Ⴕэਈ,ѩಪູఃّ႘ਔ൧ӆഈྐ༏ਈ֥э߄.ಖު,ࡹ৫၂۱Ӯࢌࠒ ӮࢌࠒࠞྟࠞྟაӮࢌਈ֥ཌྟଆ,ѩ๙ݖ၂۱ᆷൕᄝ৵࿃ࣩࡎᆷ౺൧ӆഈ,ࡌקࢌၞᆀ۴эਈٳྐ༏ྟࢌၞބ٤ྐ༏ྟࢌၞ่ࡱ༯ਆᇕऌႚႵሧӁࡎ۬ྐ༏֥౦ঃิԛБࡎaБਈა֒҂֥ཌྟܱ༢.ቋު,০Ⴈᇏݓܢௐ൧ӆ֥ٳгభ൧ӆቋႪБࡎaБਈ֥ࡗए,ᄵᆃᇕࡗएّ႘ਔӮࢌඔऌ,ࢲކႵprobitٚمބઔغॖڏሑࢌၞᆀࢌၞၩ჻఼֥ਛӱ؇∋.২ೂ,ೂݔБࡎ֮ሇ၍ඌ,ؓଆࣉྛਔܙ࠹.ᄎႨھଆ֤ԛ֥Ⴟ֒భ൧ӆ֥ቋႪછࡎ,ࠇᆀۚႿ֒భ൧ӆ֥ቋ%ຖܢௐ൧ӆ֥ᆞӈࢌၞ௹ࡗ,ૄۄٳᇒࣉྛ၂Ցࠢކࣩࡎ֥լކ,ၛӮࢌਈቋնჰᄵ۳ԛӮࢌࡎ.∋ླေඪૼਆׄ.ֻ၂,ᆃ֥ࡌקಯ൞ࠎႿྟॿࡏ֥,ࠧሧᆀေહ่ࡱႿၘႵྐ༏ࣉྛሧथҦ,ေહ൞ᄮലࢌၞᆀ,ᆃᇕഡקაPINॿࡏ൞၂ᇁ֥.҂ॖڎಪ֥൞,၇ऌྛູࣁವં,ሧᆀ֥ᆷิࢌྛູႵॖି൳֞ྏၹ֥႕ཙطཁൕԛ٤ྟྛູ.ಖط,Ч໓֥ᇗׄѩ٤ฐษྟა٤ྟॿࡏංؓංհ(ᆃЧദಯ൞ଢభԮࣁವ࿐აྛູࣁವ࿐ᆚં֥ࢊׄ໙ี),ᆃ္ӑԛਔЧ໓֥࣮ٓԐ.ֻؽ,ሧᆀथҦ෮၇ऌ֥ྐ༏ॖିႵؽ,ః၂ູႵܱ܄ඳໃটགྷࣁੀ֥ग़ܴྐ༏,ఃؽູ၂ུህြሧᆀࣉྛህြٳ༅ᆭު֤֥֞ᇶܴྐ༏.ࠧުᆀ҂၂קა܄ඳໃটགྷࣁੀႵܱ,္҂႕ཙᆃུሧᆀაႚႵग़ܴྐ༏֥ሧᆀऎႵཌྷර֥ᆷิࢌྛູ.Ֆᆃᇕၩၬഈඪ,Ч໓෮؇ਈ֥ྐ༏ࢌၞۀੱݤۂਔᆃᇕࠎႿᇶܴྐ༏֥ࢌၞྛູ.
∃10∃ܵ ॓ ࿐ ࿐ Б2010୍10ᄅႪઙࡎ,ࠧࢌၞᆀิࢌ֥ᆷ۷ऎࣩᆚྟ,ඪૼࢌࡗۯൈࡗቀܔӉ,ં൞Бࡎࡎҵߎ൞Ӯࢌࡎ,ఃၞᆀ༐ຬղӮࢌၞ֥ၩ჻ޓ఼ਛ,ऎႵޓ֥ۚࢌэ߄၂Ϯ൞ཁᇷ,္֥ࣼିႵّིႋྐ༏ਈэၞࠒࠞ.ྟّᆭᄵඪૼࢌၞᆀ҂ࠤႿӮࢌ.߄.طᄝᇏݓᆃᇕ৵࿃ࣩࡎᆷ౺൧ӆഈ,ཌྷਣᄝປᆜᆷੀඔऌႿࠆ౼֥ᇏݓܢௐ൧ਆгࢌၞ֥ൈࡗࡗۯສສ֮Ⴟ10second,ᄯӮधӆ,ॖၛ๙ݖٳгӮࢌඔऌটࡗࢤܴҩࢌၞᆀิն؟ඔཌྷਣਆгࢌၞ֥ӮࢌࡎބБࡎࡎҵनཌྷࢌБࡎaБਈ֥Ҧ.֒tൈख़ؿള၂гࢌၞൈ,,ࠧؽᆀэ߄,ၹՎૌ҂ିႵّི႘ྐ༏ਈ๙ݖܴҩӮࢌࡎaӮࢌਈބt-1ൈख़ቋႪБࡎa֥э߄.ՖӮࢌࠒࠞྟ֥קၬॖၛुԛ,ЧᇉഈБਈ֥ࡗए,ॖၛ࣍රֹ؎ࢌၞᆀࢌၞၩ჻֥൞ࡼࡎ۬э߄ࣉྛਔ༥ٳ,֤ࠧཌྷਣਆгࢌ఼ਛӱ؇.ູՎ,ܒᄯਔູ Ӯࢌࠒࠞྟ!֥Ⴕၞ֥Ӯࢌࡎཌྷ,္ປಆႵॖି۴ऌࢌၞਈ֥҂эਈCt(і1),౼ᆴՖ1֞5,ඔᆴᄀն,طФ߃ٳູ҂֥Ӯࢌࠒࠞྟඣ,ᆃ۷ູႵսіӮࢌࠒࠞྟᄀ,ۚࠧࢌၞᆀऎႵᄀ఼ਛ֥ࢌֹّི႘ਔྐ༏ਈ֥э߄.ᆃᇕٚم֥၂۱҂ቀၞၩ჻.൞֤ࡎ۬Ӂളऍնэ߄֥ӮࢌФ၂߃ٳູі1 Ӯࢌࠒࠞྟ၂ࠒࠞྟඣ.൞,ႮႿࢌၞݖႿ,َᆃᇕোTable1Tradingaggressiveness֥Ӯࢌ෮ᅝ֥б২ჹჹ֮Ⴟࡎ۬Ӂളັཬэ߄Ӯࢌࠒࠞྟڮᆴ၇ऌ౦ྙ֥б২,ၛᇀႿؓЧ໓ᆜุࢲં֥႕ཙॖၛޭ҂࠹.ᆞၹູᆃུჰၹ,Ч໓ಪູӮࢌࠒࠞྟtൈख़ӮࢌࡎࢺႿt-1ൈख़ቋႪઙࡎބቋႪ1છࡎᆭࡗ.۷ູ॓࿐ֹٳਔ҂োࢌၞᆀ֥ັܴྛ,ູtൈख़Ӯࢌࡎ֩Ⴟt-1ൈख़ቋႪઙࡎൈӮିܔႵّི႘৵࿃ࣩࡎᆷ౺൧ӆᇏྐ༏ਈ֥ࢌਈཬႿt-1ൈख़ઙ၂ਈ;ࠇᆀtൈख़Ӯࢌэ߄.2ࡎ֩Ⴟt-1ൈख़ቋႪછࡎൈӮࢌਈཬႿӮࢌࠒࠞྟ൞၂۱ႵэਈCt,ᄝЧ໓t-1ൈख़છ၂ਈ.ᇏ,ఃંٳ҃ა၂۱҂ॖܴҩ֥৵࿃ෛࠏэਈtൈख़Ӯࢌࡎ֩Ⴟt-1ൈख़ቋႪઙࡎൈӮC*ࢌਈ֩Ⴟt֥ંٳ҃ཌྷܱ৳.ऎุটඪ,ؽᆀܱ༢ડቀt-1ൈख़ઙ၂ਈ;ࠇᆀtൈख़Ӯࢌ3ࡎ֩Ⴟt-1ൈख़ቋႪછࡎൈӮࢌਈ֩Ⴟ1 C*t((-), 1)t-1ൈख़છ၂ਈ.2 C*t(( 1, 2)tൈख़Ӯࢌࡎ֩Ⴟt-1ൈख़ቋႪઙࡎൈӮCt=3 C*t(( 2, 1)(1)ࢌਈնႿt-1ൈख़ઙ၂ਈ;ࠇᆀtൈख़Ӯࢌ4ࡎ֩Ⴟt-1ൈख़ቋႪછࡎൈӮࢌਈնႿ4 C*t(( 3, 1)t-1ൈख़છ၂ਈ.5 * Ct(( 4,+))ఃᇏ, i,i=1,2,∗,5ູCtؿളэ֥ᚐᆴ,ቔtൈख़ӮࢌࡎཬႿt-1ൈख़ቋႪઙࡎࠇᆀն5Ⴟt-1ൈख़ቋႪછࡎ.ູଆҕඔФܙ࠹֤ԛ.ೂݔC*t่֥ࡱࠒٳ҃ݦඔູY(C*tF ႮႿࢌၞၩ჻఼֥ਛӱ؇౼थႿࢌၞᆀႚ|t),Ftູtൈख़ᆭభॖ֤ྐ༏,ႵሧӁࡎ۬ྐ༏֥؟ഒ,ၹՎӮࢌࠒࠞྟّ႘ਔପહCt่֥ࡱૡ؇ݦඔೂൔ(2)෮ൕ,ھૡ؇ݦྐ༏ਈ֥э߄.ඔࡼቔູܒᄯරಖݦඔ֥ࠎԤ.ᄝ࣮ٳгྐ༏ࢌၞۀੱ֥োරॿࡏᇏ,Y( 1F|t) Ct=1N[14]yholm[13],Ma,etalٳљႨБࡎࡎҵ֥э߄aӮࢌࡎэ߄֩эਈটّ႘ྐ༏ਈ֥э߄.ᆃᄝY( CFPt|t)-Y( CFt-1|t)(Ct|Ft)=(2)ૌ෮࣮֥หקࢌၞࠏᇅ༯൞ൡႨ,֥ಏѩ҂ Ct=2,3,4ൡႨႿ৵࿃ࣩࡎᆷ౺൧ӆ.൮༵,Ֆࠏᇅ࢘؇1-Y( 4|Ft) Ct=5ॉ੮,Бࡎࡎҵэ߄෮ّ႘֥ྐ༏ਈэ߄൞ࠎႿ ଆቓ൧അ൪࢘,֥ᆃᄝૌ֥ॿࡏᇏཁಖ൞҂ކൡࡌק൧ӆഈࣇթᄝྐ༏ࢌၞᆀބ٤ྐ༏ࢌၞ֥.ఃՑ,Ֆൌᆣ࢘؇ॉ੮,ᄝ୧ჿބຖᆃུࢌᆀਆᇕࢌၞᆀ,భᆀࠎႿႵྐ༏ބ܄षྐ༏ࣉၞੱཌྷؓࢠ֥֮൧ӆഈ,ႮႿཌྷਣਆгࢌၞ֥ྛࢌၞ,ުᆀࣇࠎႿ܄षྐ༏ࢌၞ.ᄝt-1ൈख़
ֻ10௹ܼԫ֩:৵࿃ᆷ౺൧ӆ֥ྐ༏ࢌၞۀੱ:၂ᇕྍ֥ٚم∃11∃ᇀtൈख़֥ൈࡗ௹ࡗ,൧ӆഈ٢֥܄षྐ༏ູѓሙᆞٳ֥҃ࠒٳ҃ݦඔ.Ⴎൔ(2)ၞ֤ࠢކູu t-,Ⴕྐ༏ࠢކູi t-.ӮࢌࠒࠞྟّCt่֥ࡱૡ؇ݦඔP(CtF|t).ఃՑ,۴ऌၘႵ֥႘ྐ༏ਈ֥э߄іૼ,tൈख़֥ӮࢌࠒࠞྟCtࡼཌྷܱ࣮,ઔغॖڏሑሇߐٚمॖၛޓݺֹࢳ൞u t-ބi t-֥ݦඔथIt҂ିФܴҩᆃ၂໙ี[13-14].ၹՎ,Ч໓ဢCuit=ft( t-, t-)(3)ႋႨᆃ၂ٚمࢳथھ໙ี.ႮႿu t-ބi t-҂ॖܴҩ,ࡗࢤ֥ྐ༏սэᆴ֤ษં֥၂۱໙ี൞:ೂݔ i>0,ପહ൞ਈࣼэ֤ޓᇗေ.նਈ࣮ࠁކٳ҃ࡌඪ֥໓ڎၩሢྐ༏ࢌၞᆀ၂ק߶ิࢌ۷ࠒ֥ࠞᆷང[23]ࡼӮࢌਈुቔྐ༏ੀ֥սэਈ,࿖ᆃ?ճσ൞҂၂ק.ၹູᄝႵProbitଆॿࡏ၂නਫ਼,Ч໓ಪູࠎႿ܄षྐ༏֥ӮࢌਈQutॖၛ༯, i>0ࣇࣇၩሢྐ༏ࢌၞᆀิࢌ֥ᆷԩቔູu t-֥սэਈ,ࠎႿႵྐ༏֥ӮࢌਈQitႿۚࠒࠞྟඣ֥ ۀੱ!ࢠ٤ྐ༏ࢌၞᆀ.ۚᆃॖၛቔູi t-֥սэਈ,ᄵႵ۱ࢲݔ൞ᇗေ֥,ၹູၘႵ࣮іૼ,ྐ༏ࢌၞᆀCt=ft(Qut,Qit)(4)Ⴕൈ߶ଆٟ٤ྐ༏ࢌၞᆀ֥ࢌၞҦՖطղ֞ႅ༯૫ॉ੮ऎุ֥ݦඔྙൔ.Ч໓ࡌഡӮࢌࠒҟྐ༏֥ଢ.֥ၹՎ,Ч໓֥ॿࡏѩ҂ஆԢᆃᇕॖࠞྟაӮࢌਈӯཌྟܱ༢.ᆃ൞ၹູ,۴ऌЧ໓֥ି.ྟ൞,۬ٳྐ༏ࢌၞᆀ֥ႅҟࢌၞބ٤קၬ,Ӯࢌࠒࠞྟ൞ؓࡎaਈൈэ߄ӱ؇֥၂ᇕྐ༏ࢌၞᆀ֥ࢌၞၘࣜӑԛਔЧ໓֥ٓԐ.؇ਈ.ఃᇏ,ਈ֥э߄აӮࢌਈӮཌྟܱ༢൞ކਆ۱ี֤ၛࢳथ,ުླေܙ࠹֥ؓඔර֥,Վຓ[24],Kyleಪູࡎ֥۬э߄აӮࢌਈᆭࡗಖݦඔ္ູӯཌྟܱ༢(Ct|Ft)=,logP(Ct|Ft)(7)tൈख़֥ӮࢌਈQtູQutაQitᆭބ.ၹՎݦඔt=1ྙൔഡקೂ༯ڸ۳ԛਔႋႨഈඍਆٚم࠹ෘؓඔරಖݦCt= (Qut+Qit)+!t= Qt+!t(5)ඔ֥ඌ༥ࢫ.ఃᇏ, ູӈ༢ඔ,!tູෛࠏ༂ҵཛ,дՎ৫ࣉ၂҄ࡼࢌၞᆀٳູઙٚބછٚ,ѩ࣮චٳ,҃ડቀ!֥ٚྐ༏ࢌၞྛູ൞ڎཁᇷ҂.൮༵ҐႨLeet~N(0,∀2),∀2ູٚҵ,ൈE(!t|QބR[25]eadyิԛ֥ѓ࠺ဒ(ticktest)ٚمٳt)=0.ູ࣮Ⴕྐ༏ؓӮࢌࠒࠞྟ֥႕ཙѩࣉ၂ૄгࢌၞ֥ؿఏٚཟ.ಖު,֒Ⴎઙٚؿఏ՜ӮӮ҄࠹ෘྐ༏ࢌၞۀੱࢌൈ, i= bi;֒Ⴎછٚؿఏ՜ӮӮࢌൈ, i,เࡆ၂۱ᆷൕэਈIt,֒tൈख़ؿള֥ࢌၞႮྐ༏ࢌၞᆀؿఏൈ,It=1= s;i.ၹՎ,ླေܙ࠹֥༢ඔཟਈູ∃=( u, bi,֒ stൈख़ؿള֥ࢌၞႮ٤ྐ༏ࢌၞᆀؿఏൈ,It=,p00,p11, 1, 2, 3, 4,∀),ॖၛ๙ݖࠞն߄රಖൈ,ࡼൔ(5)ྩڿູݦඔL(CtF|t)֤֞.Ct=( u+ i+It)Qt+!t(6)ᄝܙ࠹ଆൈ,ູЌᆣ֤֞ሙಒ֥ܙ࠹ࢲݔ, uބ iनູӈ༢ඔ.ᆃဢ၂ট,ႮႿIt֥թᄝ,ൔؓҕඔࣉྛਔ၂ק֥эߐ.২ೂ,๙ݖlogitэߐ(6)ൌ࠽ဆэູ٤ཌྟଆ.֒ྐ༏ࢌၞᆀؿఏၛЌᆣ0−p00,p11−1;๙ݖؓඔэߐၛЌᆣࢌၞൈ,ӮࢌਈؓӮࢌࠒࠞྟ႕ཙ֥༢ඔູ u+∀.0.ҕඔ֥ѓሙҵᄵ๙ݖdeltaٚمট࠹ෘ. i,֒٤ྐ༏ࢌၞᆀؿఏࢌၞൈ,ӮࢌਈؓӮࢌࠒ ྐ༏ࢌၞۀੱࠞྟ႕ཙ֥༢ඔࣇູ u.࣐ܵP(Iؓൔt=mC|t,Ft)္ॖၛᆰࢤႨট࠹ෘ(6)ࣉྛܙ࠹ൈ߶მ֞ਆ۱.ีֻ၂,ቔູႵэਈ֥Ctഉໃა၂۱৵࿃ෛࠏэྐ༏ࢌၞۀ,ੱᆺ০Ⴈਔtൈख़ᆭభ֥ॖ֤ਈཌྷܱ৳,ၹՎمࠆ֤ః่ࡱૡ؇ݦඔ;ֻؽྐ༏,ط҂൞ಆ҆ൈ௹ဢЧ֥ྐ༏.ೂݔՖಆ҆ൈ,௹֥࢘؇ु,P(It=mC|t,Ft)ࣼᆺି൞tൈख़ሑIt҂ିФܴҩ.൮,༵ᄎႨႵprobit݂߭ଆࢳथֻ၂۱.ีॉ੮၂۱҂ॖܴҩ֥৵࿃ෛࠏэ֥ ൙భ؎!,ၹູၘࠆ֤ਔಆ҆ൈ௹֥ဢЧਈC*ྐ༏,ࣼॖၛࣉྛ ൙ު؎!,ࠧॖၛ࠹ෘԛtսูൔ(6)ᇏ֥Ct,ॖᆩC*t่֥ࡱࠒٳ҃ݦඔູ#((C*t-( u+ i+It)Qt)/∀),#(+)P(It=mC|T,Ft),m=0,1.ཁಖ০Ⴈھᆴ࠹ෘ
∃12∃ܵ ॓ ࿐ ࿐ Б2010୍10ᄅྐ༏ࢌၞۀ,ੱࢲݔିܔّႋಆ҆ൈ௹ဢЧ֥ྐ၂гӮࢌඔऌ࠺ਔܢௐսaರ௹aӮࢌࡎaӮ༏.ၹՎ,൮༵০ႨKim[26]۳ԛ֥םսෘمԛࢌਈaӮࢌൈࡗaӮࢌൈख़ઙ(છ)၂ᇀઙ(છ)ھᆴ,ڸൔ(F-6).ࡎaӮࢌൈख़ઙ(છ)၂ᇀઙ(છ)ਈ֩ྐ༏.ླࠎႿھࢲݔ,၂ൈࡗ؍ଽ֥ྐ༏ࢌၞۀੱေหљᆷԛ֥൞,ႮႿࢌၞੱݖႿَބඔऌPIt−t−tॖႮ༯ൔԛ࠺ٚم֥ჰၹ,ૄ၂гӮࢌॖି൞Ⴎۄг۷12t2ཬ֥ӮࢌቆކطӮ֥.ૌಪ,ֻູ၂,Ч໓ଆ,P(It=1C|T,FT)+Qtѩ҂ཞPINଆପဢေ০Ⴈઙછࢌၞгඔটܙ࠹t=tP1It1−t−t=(8)2t2ྐ༏ࢌၞۀ,ੱೂݔቆӮֆгӮࢌ֥ۄཬӮࢌ,Qtᇏྐ༏ࢌၞᆀؿఏ֥Ӯࢌᅝ؟ඔ,ପહФ؎t=t1োරႿM[14]aູྐ༏ྟࢌၞ֥ۀੱაֆ၂г۷ॖିႮྐ༏ࢌ,etal.֥࣮,ॉ੮ਔӮࢌਈ֥ࡆಃၞᆀؿఏ֥ӮࢌФ؎ູྐ༏ྟࢌၞ֥ۀੱѩ.Ⴎൔ(8)ॖၛुԛ,֒ଖ၂ൈࡗ؍෪ཬ֞tൈ҂,ᆃؓ࠹ෘܢௐ၂؍ൈࡗྐ༏ࢌၞۀੱ֥႕ཙख़ؿള֥၂гӮࢌൈ,ھгӮࢌ֥ྐ༏ࢌၞۀੱ۷ཬ.ֻؽ,ႮႿཌྷਣਆгӮࢌ֥ൈࡗࡗۯቀܔ؋PI(ඔऌ࠺ᇏ֥Ӯࢌӻ࿃௹ࣜӈູ3ᇀ5second),ࡼtູIt֩Ⴟ1֥߁ۀੱ.ࠧPIt=Pః൪ູֆгӮࢌѩ҂߶Ӂളն֥༂ҵ.(It=1C|T,FT)(9)ູิۚܙ࠹ሙಒྟ,ؓဢЧඔऌࣉྛೂ༯ყԩ.൮༵,ູх૧հ༂ඔऌ֥႕ཙ,ϜဢЧ௹ଽ2 ဢЧაඔऌթᄝհ༂ඔऌ࠺֥5ᆺܢௐัԢ,ഺჅ45ᆺܢЧ໓Ⴈ֥ඔऌটჷູКࣘ୶ٯྐ༏ڛༀௐቔູٳ༅ဢЧ.ఃՑ,ູх૧ࠢކࣩࡎބ৵࿃ࣩႵཋ܄ඳषؿ֥ᇏݓܢௐ൧ӆٳгӮࢌඔऌ९ࡎਆᇕࠏᇅ֥ཌྷ႕ཙ,ัԢਔᄝ৵࿃ࣩࡎ௹ຓ,࿊౼ഈᆣ֥෮ႵӮࢌඔऌ.і2۳ԛਔဢЧඔऌ֥҆ٳޘ50ᆷѓܢᄝ2003-07-01ᇀ2003-09-30֥ۚࢌၞඔऌູဢЧ.ؓႿ၂ᆺܢௐࢩ૫૭ඍ࠹ਈ.,ૄі2 ဢЧඔऌޘࢩ૫૭ඍ࠹ਈTable2Cross Sectionaldescriptivestatisticsofsampledataэਈनᆴѓሙҵٳ໊ඔቋཬᆴ255075100नധ؇नӻ࿃௹नࡎҵ൬ၭѓሙҵनӮࢌਈ ᇿ1:ཌྷܱэਈ֥࠹ෘೂ༯:൬ၭ=֒௹Ӯࢌࡎ֥ؓඔ-ഈ௹Ӯࢌࡎ֥ؓඔ;ധ؇=ઙ၂ਈ+છ၂ਈ;ӻ࿃௹=֒௹Ӯࢌൈࡗ-ഈ௹Ӯࢌൈࡗ;ࡎҵ=છ၂ࡎ-ઙ၂ࡎ. ᇿ2:іᇏ эਈ!၂ণᇏ֥नᆴэਈᆷ۲ᆦܢௐဢЧ௹ଽ֥नᆴ,൬ၭѓሙҵᆷ۲ᆦܢௐૄ௹൬ၭᄝဢЧ௹ଽ֥ѓሙҵ; नᆴ!၂ণᆷಆ҆ܢௐဢЧؓႋ эਈ!၂ণଽ۲эਈ֥नᆴ.ఃჅণэਈ֥࠹ෘোරႿ नᆴ!ণ.ࢲݔਙႿі3.ཋႿږ,ીႵਙԛ෮Ⴕܢௐ֥ಆ3 ଆܙ࠹ࢲݔაٳ༅҆༢ඔܙ࠹ᆴ,ᆺਙԛਔ҆ٳ༢ඔ࠹ਈބбࢠ࠹ਈ/,ᆃུ࠹ਈၘࣜቀܔ֤ԛౢ༉ބႵིᄎႨGaussೈࡱؓ෮ႵܢௐဢЧࣉྛܙ࠹,֥ࢲં./tဒіૼ෮Ⴕ༢ඔ࠹ཁᇷ,ܣીႵ۳ԛ༢ඔѓሙҵ࠹ਈ.
ֻ10௹ܼԫ֩:৵࿃ᆷ౺൧ӆ֥ྐ༏ࢌၞۀੱ:၂ᇕྍ֥ٚم∃13∃і3 ܙ࠹༢ඔ࠹іTable3Statisticsofestimators༢ඔ࠹ਈٳ໊ඔ༢ඔनᆴѓሙҵቋཬᆴ255075100 ∀бࢠ࠹ਈбࢠܱ༢ϤٳбKruskal Wallisဒ >%∃ b>%∃i s>%∃ s> %>% ᇿ1:іᇏ ༢ඔ࠹ਈ!҆ٳႵܱྐ༏ࢌၞۀੱ֥࠹ਈ֥࠹ෘ҄ᇧູ,൮༵,࠹ෘࠎႿૄᆺܢௐಆ҆ဢЧ֥ື၂ྐ༏ࢌၞۀੱᆴ;ಖު,ؓ෮Ⴕ45۱ᆴࣉྛཌྷႋ࠹ਈ֥࠹ෘ.ᇿ2:іᇏ бࢠ࠹ਈ!҆ٳ Ϥٳб!ণ֥ᆴ,ູ෮Ⴕбࢠܱ༢Ӯ৫֥ܢௐဢЧᅝಆ҆ဢЧ֥б২ඔ.ᇿ3:іᇏ бࢠ࠹ਈ!҆ٳ Kruskal Wallisဒ!ণ֥ᆴ,ᆺؓऎႵбࢠܱ༢֥ਆቆ༢ඔᆴ൞ڎটჷႿ၂ٳ҃ࣉྛਔဒ,ીႵؓ༢ඔᆴބӈඔ֥бࢠࣉྛဒ.ᇿ4:PIᆴ֥࠹ෘࠎႿಆ҆ဢЧ௹. ൮༵,ؓႿ෮Ⴕܢௐ, u, bi, siनնႿ0.ᆃછٚࢌၞᆀᇏ֥ٳ҃ીႵཁᇷ֥ҵљ.၂ࢲݔඪૼ,ྐ༏ྟࢌၞ߶ิۚᆷඋႿۚࠒࠞቋ,ުؓp00ބp11ܱ༢ࣉྛбࢠ֥ࢲݔোරྟඣ֥ۀ.ੱᆞೂభ໓෮ඍ,࣐ܵᆃ၂ࢲݔѩ҂Ⴟؓ siބ bi֥бࢠ.࣐ܵՖनᆴaٳ໊ඔބϤٳஆԢྐ༏ࢌၞᆀଆٟ٤ྐ༏ࢌၞᆀᆭҦၛႅҟб֥࢘؇ु,p00նႿp11,Kruskal Wallisྐ༏ᆃ၂ྛູ֥ॖି,ᄝ၂קӱ؇ഈಯіૼ,ᄝဒ֥ࢲݔಏ҂ିऋधp00ބp11টሱ၂ሹุ֥ࡌᇏݓܢௐ൧ӆഈ,ྐ༏ࢌၞᆀສສิ܂۷ऎࣩᆚഡ,ࠧྐ༏ྟࢌၞބ٤ྐ༏ྟࢌၞऎႵࠎЧཌྷྟ֥ᆷ(ೂิࢌ۷֥ۚઙࡎa۷֥֮છࡎ,ࠇ۷֥ऊࠢ.ྟၘႵ࣮नіૼ٤ྐ༏ྟࢌၞऎႵ۷ն֥Бਈ)ၛ࣐ॹֹ՜Ӯࢌၞ.ն֥ऊࠢྟ[13-14],Ч໓֥࣮ؿགྷਔᇏݓ൧ӆഈఃՑ,࣐ܵ si֥नᆴބधն҆ٳٳ໊ඔ(ቋაᆭཌྷّ֥ᆣऌ.ཬᆴԢຓ)նႿ bi,ൈ60%֥ܢௐဢЧ֥ siնႿ b4 აׅࣜྐ༏ࢌၞۀੱଆ֥бࢠi,ᆃ҂іૼႮછٚؿఏ֥ࢌၞбႮઙٚؿఏ֥ࢌၞऎႵ۷֥ۚྐ༏ࢌၞۀ.ੱٳ༅Kruskal Wallisဒ֥ࢲݔіૼ,҂ିऋध siა biটሱ၂ሹุ֥ࡌഡ,ࠧྐ༏ᄝઙٚࢌၞᆀބູဒᄎႨЧ໓ٚم࠹ෘ֥ྐ༏ࢌၞۀੱ֥
∃14∃ܵ ॓ ࿐ ࿐ Б2010୍10ᄅႵིྟބࢳି৯,ᆃ၂҆ٳؓЧ໓ଆაׅࣜఃᇏ,ᄝޘࢩ૫݂߭ٚӱᇏ,Spreadູࡎҵэਈ,֥ྐ༏ࢌၞۀੱଆࣉྛбࢠٳ༅.ႿPINଆᄝൌᆣٳ༅ᇏࡼٳљҐႨषު10minनࡎФܼٗࢤ൳ބႨ,࿊౼ھଆࠣঔᅚھଆҵ,൬భ10minनࡎҵބಆ฿नࡎҵ.VPI֥ൈэTPINଆ[8],ٳљႨႿဒЧ໓ଆᄝޘູܢௐࡎ۬ބЧ໓ྐ༏ࢌၞۀੱ֥Ӱࠒ,VPINູࢩ૫หྟഈބൈࡗਙหྟഈ֥Ⴕིྟބࢳିܢௐࡎ۬ބPINଆྐ༏ࢌၞۀੱ֥Ӱࠒ,৯.ٳљᄎႨSASބGaussೈࡱؓਆ۱ଆᄝ෮VTPINູܢௐࡎ۬ބTPINଆྐ༏ࢌၞۀੱ֥ႵဢЧഈࣉྛਔܙ࠹.ཋႿږ,ીႵ۳ԛਆଆӰࠒ,෮Ⴕྐ༏ࢌၞۀੱनູ۴ऌ۲۱ଆ࠹ෘ֥රಖݦඔٚӱބྐ༏ࢌၞۀੱ࠹ෘٚم,౨ԛ֥ື၂ᆴ(TPINଆູರྐ༏ࢌၞۀੱᄝဢЧᆀҕॉჰ໓.௹ଽ֥नᆴ),ܢௐࡎູ۬ರ൬ࡎᄝဢЧ௹ଽ࿖ѩঔᅚQinLeiބW[8]uбࢠTPINଆ֥नᆴ.VOLູರनࢌၞح֥ؓඔᆴ.ఃჅ෮ބPINଆ֥නਫ਼,ٳљࡹ৫ਔ၂۱ޘࢩ૫݂߭Ⴕэਈ֥ၩၬޘࢩ૫݂߭ٚӱ,नູರэਈଆބ၂۱૫ϰ݂߭ଆ,ႨႿဒЧ໓ଆaൈࡗਙ.PINଆႮႿ҂ି࠹ෘರྐ༏ࢌၞۀPINଆބTPINଆؓ҂ࡎҵ֥ࢳି৯,ၛੱᆴطໃЇݣᄝ૫ϰ݂߭ٚӱᇏ.бࢠ۲ྐ༏ࢌၞۀੱଆ֥ཌྷؓႵིྟࠣࢳି۴ऌၘႵ࣮,ྐ༏ࢌၞۀੱؓࡎҵႵᆞཟ৯.ൔ(10)ބൔ(11)ٳљ۳ԛਔޘࢩ૫݂߭ଆ႕ཙ,ࢌၞਈؓࡎҵႵڵཟ႕ཙ.ၹՎ,Ч໓௹ຬބ૫ϰ݂߭ଆބVTPINэਈႵᆞ֥༢ඔᆴ,VOLэਈSpreadi=%0+%1VPIi+%2VPINi+%3VTPINi+ᄵႵڵ֥༢ඔᆴ.ೂݔЧ໓ଆႪႿPINଆބ %4VOLi+!i i=1,∗,45(10)TPINଆ,ପહ௹ຬVPIᄝ۲۱݂߭ଆᇏ֥༢Spreadi,t=&1VPIi,t+&3VTPINi,t+&4VOLi,t+ඔܙ࠹ᆴनູᆞཁᇷ,ൈVPINބVTPINэ45ਈ༢ඔܙ࠹ᆴ֥ཁᇷྟࢠ֮ࠇ҂ཁᇷ.і5۳ԛ ,∋i (i)+(i,t i=1,∗,45i=1ਔႨႿ݂߭ٳ༅֥۲эਈ֥ޘࢩ૫૭ඍ(11)࠹ਈ.і5 ٳ༅эਈޘࢩ૫૭ඍ࠹ਈTable5Cross Sectionaldescriptivestatisticsofvariablesٳ໊ඔэਈनᆴѓሙҵቋཬᆴ(open)(close) ᇿ1 эਈ!ণᇏ,PIູࠎႿЧ໓ଆܙ࠹֥ྐ༏ࢌၞۀੱ;PINູࠎႿPINଆܙ࠹֥ྐ༏ࢌၞۀੱ;TPINູࠎႿTPINଆܙ࠹֥ྐ༏ࢌၞۀੱ;Spread(open)ູषު10minनࡎҵ;Spread(close)ູ൬భ10minनࡎҵ;VOLູؓඔರࢌၞح;PRICEູರ൬ࡎ.ಆ฿नࡎҵ૭ඍ࠹ਈі2. Ֆі5ᇏॖၛुԛ,TPIN౼ᆴᆜุഈေۚႿPINބTPIN.ೂݔൌᆣٳ༅іૼ,PIཌྷؓႿPINބPIN,ᆃაQinLeiބW[8]u࣮֥ࢲݔ൞၂ᇁ.֥TPINऎႵ۷ݺ֥Ⴕིྟބࢳ৯,ପહᆃᄝ၂קൈ,ࠎႿЧ໓ଆܙ࠹֥PI౼ᆴᆜุഈေۚႿӱ؇ഈіૼ,ࠎႿPINॿࡏܙ࠹֥ྐ༏ࢌၞۀੱ0ᄝ૫ϰ݂߭ٚӱᇏ,ҐႨޘࢩ૫ܥקིႋ૫ϰ݂߭,ࠧૄᆦܢௐႵ҂֥ࢩएܙ࠹ᆴ,Ⴕཌྷ֥݂߭эਈ༢ඔܙ࠹ᆴ. (i)ູؓႋ۲ᆦܢௐ֥эਈ,ᆃᇕ૭ඍٚൔ֥ଢ֥൞ౢ༉ֹіൕ҂ࢩएܙ࠹ਈ,ᄝൌ࠽ܙ࠹ݖӱᇏ,Eviewsೈࡱ߶ሱเࡆ၂۱܄܋ࢩए,෮ܙ࠹ԛ֥۱ܢࢩएູაՎ܄܋ࢩए֥ொҵ.
ֻ10௹ܼԫ֩:৵࿃ᆷ౺൧ӆ֥ྐ༏ࢌၞۀੱ:၂ᇕྍ֥ٚم∃15∃Ⴕॖି֮ܙਔྐ༏ࢌၞ֥б২.і6۳ԛਔൔԛਔᇗေ༢ඔ֥ܙ࠹ࢲݔ.(10)ބൔ(11)֥ܙ࠹ࢲݔ.ཋႿږ,іᇏࣇਙі6݂߭ٚӱܙ࠹ࢲݔіTable6Estimationresultsofregressionequations݂߭षު10min൬భ10minಆ฿эਈनࡎҵनࡎҵनࡎҵ૫ϰA:ޘࢩ૫݂߭ٳ༅()()()()()()()()()()()()૫ϰB:૫ϰ݂߭ٳ༅()()()()()()()()() ᇿ1:҂ࡎҵণٳљսіၹэਈູཌྷႋࡎҵൈ֥ܙ࠹ࢲݔ.၂ࡎҵণЇওਆਙ,ֻ1ਙູაྛэਈཌྷؓႋ֥༢ඔܙ࠹ᆴ,ֻ2ਙওݼଽ֥ඔᆴູཌྷႋ༢ඔ֥t࠹ਈ.၂Ϯ౦ྙ༯,t࠹ਈधؓᆴնႿ2ၩሢ༢ඔཁᇷ.ᇿ2:૫ϰA۳ԛਔؓႋൔ(10)֥ܙ࠹ࢲݔ,૫ϰB۳ԛਔؓႋൔ(11)֥ܙ࠹ࢲݔ. Ֆі6֥ࢲݔॖၛुԛ,ᄝޘࢩ૫݂߭ٳ༅ᇏ,VTPINэਈ֥༢ඔࣇᄝؓಆ฿नࡎҵ֥ࢳᇏູᆞཁᇷ,ᄝؓषު10minनࡎҵ֥ࢳᇏژݼູڵ,ᄝؓ൬భ10minनࡎҵ֥ࢳᇏ҂ཁᇷ;VPIN༢ඔᄵᄝؓಆ฿नࡎҵ֥ࢳᇏ҂ཁᇷ.აᆭཌྷ֥ؓ൞,VPI༢ඔᄝؓಆ҆ᇕࡎҵ֥ࢳᇏनູᆞཁᇷ.ᄝ૫ϰ݂߭ٳ༅ᇏ,VTPIN༢ඔᄝؓ൬భ10minनࡎҵ1 ྐ༏ࢌၞۀੱაܢௐࢌၞหᆘ֥ರଽིႋ֥ࢳᇏ҂ཁᇷ,აᆭཌྷ֥ؓ൞,VPI༢ඔᄝؓಆ҆ᇕࡎҵ֥ࢳᇏनູᆞཁᇷ.ၛഈࢲݔіstock&stradingcharacteristicsૼ,ࠎႿЧ໓ଆܙ࠹֥ྐ༏ࢌၞۀੱPIཌྷؓႿᇿ1:ඔऌ֥࠹ෘ҄ᇧູ:ֻ1,҄ࡼૄ฿֥ࢌၞൈࡗٳӮཌྷPINބTPINऎႵ۷ݺ֥Ⴕིྟބࢳ৯.ᆃ၂ࢲ֥֩24۱ࡗ,ૄ۱ࡗ10min,ಖުٳљԛૄ۱ࡗଽ۲эݔൈіૼ,ࠎႿPINॿࡏܙ࠹֥ྐ༏ࢌၞۀੱਈ֥ື၂ᆴ.൮༵ᆌؓૄ၂ᆦܢௐᄝૄ၂฿ଽ࠹ෘ,ྐ༏ࢌၞۀॖି֮ܙਔྐ༏ࢌၞ֥б২ੱ۴ऌൔ(13)ԛ;ሧӁ൬ၭѯູٳгӮࢌ൬ၭਙᄝଽ֥ѓሙҵ;Ӯࢌӻ࿃௹ބБࡎࡎҵ൞౼10minଽ֥नᆴ.ಖު,۲эਈ֥ᆴᄝಆ҆ဢЧ௹ଽ౼न.ֻ2,҄ᄝૄ۱105 ྐ༏ࢌၞۀੱაܢௐࢌၞหᆘᆭminࡗଽ,౼۲эਈ֥ᆴᄝಆ҆ဢЧܢௐଽ֥ᇏ໊ඔ,ྙӮ۲эਈܱ༢֥ರଽིႋ֥ರଽඔᆴਙ.ֻ3,ູ҄ьႿࡼ۲эਈ٢ᄝ၂۱ᇏ,ؓ۲эਈࣉྛ၂ק֥эߐ.ၛྐ༏ࢌၞۀੱູ২,эߐٚمູP*I=(PI-MINiiP)/(MAXIP-MINIP) ྐ༏ࢌၞۀੱაܢௐࢌၞหᆘ֥ರଽིႋ൮༵۳ԛྐ༏ࢌၞۀੱაܢௐࢌၞหᆘ֥ರఃᇏ,PIіൕֻi۱10minࡗଽ֥ྐ༏ࢌၞۀੱᄝэߐᆭభ֥iᆴ,P*Iіൕэߐᆭު֥ᆴ.MINଽིႋPіൕ෮Ⴕࡗ֥ྐ༏ࢌၞۀiI.1૭ਔྐ༏ࢌၞۀੱބሧӁ൬ၭѯੱᆴ֥ቋཬᆴ,MAXPіൕ෮Ⴕࡗ֥ྐ༏ࢌၞۀੱᆴ֥ቋIaБࡎࡎҵaӮࢌӻ࿃௹֩ܢௐࢌၞหᆘ֥ರଽնᆴ.ིႋ.ᇿ2:ޘቕѓіൕࡗ֥ݼ,ሺቕѓіൕэߐު۲эਈᆴ֥նཬ.
∃16∃ܵ ॓ ࿐ ࿐ Б2010୍10ᄅՖ1ॖၛ֤ԛೂ༯ࢲંѯaБࡎࡎҵaӮࢌӻ࿃௹֥ཌྷܱྟ֥ರଽэ߄ֻ၂,ྐ༏ࢌၞۀੱᄝषު౼ᆴࢠ,ۚಖުหᆘ,ࠧರଽིႋ,2.ߏત༯ࢆ,40minުղ֞၂۱໗ק֥ඣ.ᇏष,ުྐ༏ࢌၞۀੱᄝႵഈശުཁᇷ༯ࢆ,ಖުԩႿ၂۱ࠎЧ໗ק֥ඣ.Ֆಆ฿ট,ुྐ༏ࢌၞۀੱऎႵაၘႵ࣮ࢲݔোර֥ L!,ഈ֥ྐ༏ࢌၞۀੱնႿ༯֥ྐ༏ࢌၞۀੱ.Ч໓ಪ,ູྐ༏ࢌၞۀੱᄝ၂฿֥ਆՑषުऎႵࢠ֥ۚ౼ᆴ,൞ႮႿ๔ൈ௹֥࠹ྐ༏ᄝषުླေ٢֥ࢲݔ2 ྐ༏ࢌၞۀੱაܢௐࢌၞหᆘཌྷܱྟ֥ರଽིႋ.ֻؽ,ሧӁ൬ၭѯᄝषު֥౼ᆴቋۚ,ಖު༯ࢆ,ᄝ൬భ౼ᆴᄜՑഈശ,ӯ U!;Бࡎtradingandstock&stradingcharacteristicsᇿ1:۲эਈ֥ᆴनູಆ҆ܢௐဢЧ౼ᆴਙ֥ᇏ໊ඔ.෮Ⴕࡎҵဢᄝषު౼ᆴቋۚ,ಖު༯ࢆ,40minުэਈᄎႨ1(ᇿ1ֻ3҄)֥ٚمࣉྛਔэߐ.ղ֞၂۱໗קඣѩӻ࿃ᇀ൬,ӯ L!;Ӯࢌᇿ2:ޘቕѓіൕࡗ֥ݼ,ሺቕѓіൕPIაܢௐࢌၞหtiӻ࿃௹ᄝषުބ൬భ֥౼ᆴࢠ,֮ᄝᇏൈᆘ֥ཌྷܱ༢ඔᆴ.௹หљ൞ᇏषު֥၂؍ൈࡗଽ౼ᆴࢠۚᇿ3:Cor(v,i)іൕCovr,Cosr(s,i)іൕCor,Cor(d,i)і,ӯiiൕCodr. ֚U!.ၛഈܢௐࢌၞหᆘ֥ರଽིႋ,ԢБiࡎࡎҵႵ҂ຓՖ2ॖၛ֤ԛೂ༯ࢲં,नაၘႵ֥ᆌؓݓຓܢௐ൧ӆ֥࣮ࢲݔোරֻ၂,ྐ༏ࢌၞۀੱაܢௐࢌၞหᆘ֥ཌྷܱ. ྐ༏ࢌၞۀੱაܢௐࢌၞหᆘᆭܱ༢֥ರྟऎႵཁᇷ֥ರଽིႋ.ྐ༏ࢌၞۀੱაሧӁ൬ଽིႋၭѯaБࡎࡎҵ֥ཌྷܱྟᄝರଽࠎЧӯགྷ U!ᆰܴഈ,Ֆ1ॖၛुԛ,ྐ༏ࢌၞۀੱა۲(ࠇແ҆ഈ֥ L!),ܴҳჰඔऌؿགྷ,۱ܢௐࢌၞหᆘ֥ರଽིႋऎႵ၂ק֥ཌྷܱ.ྟᆃᇕཌྷܱྟᄝषުބ൬భູᆞ,षުᆞཌྷೂᄝषު֥၂؍ൈࡗଽ,ྐ༏ࢌၞۀੱაሧӁܱྟቋ఼,ಖުߏત༯ࢆ,40minުࠎЧԩႿ҂ཌྷ൬ၭѯaБࡎࡎҵऎႵࢠ֥ۚ౼ᆴ,ಖުᇯࡶܱඣ.ྐ༏ࢌၞۀੱაӮࢌӻ࿃௹֥ཌྷܱྟᄝ༯ࢆ.ପહ,ᆃᇕཌྷܱྟᄝರଽ൞ ၂Ӯ҂э!֥ರଽࠎЧӯགྷ ֚U!,ܴҳჰඔऌުؿགྷ,ગ?Ч໓ࡼ๙ݖ၂ᇕࡥֆ֥קਈٚم࣮ھཌྷܱᆃᇕཌྷܱྟᄝषުބ൬భູڵ,ᄝᇏ๔ྟ֥ರଽэ߄หᆘ,ࠧರଽིႋ.భުູᆞ,൬భڵཌྷܱྟቋ఼.ၛഈࢲંᆣૼྐ൮,༵ܒᄯ၂༢ਙྴэਈK,i=1,2,∗,༏ࢌၞۀੱაܢௐࢌၞหᆘ҂ࣇऎႵཌྷܱྟ,طi24ೂ༯:ऎႵૼཁ֥ರଽൈэྟ.ֻؽ,ྐ༏ࢌၞۀੱაܢௐࢌၞหᆘ֥ཌྷܱK1 ൈࡗԩᄝֻi۱ࡗi=0 ൈࡗໃᄝֻi۱ࡗ(12)ྟ,ܢௐࢌၞหᆘЧദऎႵোර֥ರଽིႋ.ؓಖ,ުܒᄯ၂༢ਙэਈPIti,i=1,2,∗,24ೂ༯:б1ބ2,ॖၛؿགྷᆃ၂གྷའ.ھࢲંࣉ၂҄PIti=PIt+Ki(13)ቑᆣਔྐ༏ྟࢌၞ൞՜Ӯܢௐࢌၞหᆘರଽэ߄ఃᇏ,PItູႮൔ(9)ԛ֥ྐ༏ࢌၞۀ.ੱ֥ᇗေၹ.Vt,St,DtٳљіൕሧӁ൬ၭѯaБࡎࡎ ໗ࡲྟဒҵބӮࢌӻ࿃௹.๙ݖ࠹ෘPItiაVt,St,Dt֥ཌྷܱ࣐ܵഈඍקਈٚمࡥֆѩᆰֹܴ۳ԛਔྐ༏༢ඔ,֤֞ೂ༯3۱ਙ(i=1,2,∗,24)ࢌၞۀੱაರଽࢌၞหᆘᆭܱ༢֥ರଽིႋ,Cvori=Corr(PIti,Vt)(14)҂֤҂ӵಪ֥൞,ᆃᇕࣇႨဢЧᇏ໊ඔটᇅsCori=Corr(PIti,St)(15)ರଽིႋྙ֥ቓمॖି߶ջট ൞ڎൿਔఃCdori=Corr(PIti,Dt)(16)ॖିྐ༏!֥ᇉၐ.Ч໓ܒᄯਔਆো૫ϰ݂߭ᆃ3۱ਙіൕਔྐ༏ࢌၞۀੱაሧӁ൬ၭଆটဒᆣഈඍࢲં֥໗ࡲྟ.
ֻ10௹ܼԫ֩:৵࿃ᆷ౺൧ӆ֥ྐ༏ࢌၞۀੱ:၂ᇕྍ֥ٚم∃17∃ֻ1ো,ಯႨ10minࡗඔऌܒᄯೂ༯ᆦܢௐ෮ᄝࡗؿള֥Ӯࢌгඔ.ᆃུଆ္ູ۱૫ϰ݂߭ଆ:ޘࢩ૫ܥקིႋ૫ϰ݂߭ଆ,҂ܢௐࣇࣇ2424ᄝࢩएཛഈ҂,ࢳэਈ֥༢ඔᄝ၂ࡗᇏVi,j=,vbj)(j)PIi,j+,vcj)(j)VOLi,j+j=1j=1֥ޘࢩ૫ഈ൞ཌྷ֥.ൈ,ႮႿ҂ܢௐᄝ҂45ࡗ֥Ӯࢌгඔ҂,ᆃུ૫ϰ݂߭ଆ൞٤ ,∋i (i)+!vi,ji=1ޙ.֥ھଆิ܂ਔྐ༏ࢌၞۀੱაರଽࢌၞห2424ᆘᆭܱ༢ັܴҪ૫ഈ۷ູധೆ֥ॉҰ,ၹູఃэssSi,j=,bj)(j)PIi,j+,cj)(j)VOLi,j+j=1ਈ౼ᆴनၛ ٳг!ູֆ.໊ႮႿሧӁ൬ၭѯᄝj=145 ٳг!֥Ҫ૫ഈمෘԛ,ၹՎໃЇݣᄝഈඍٳ ,∋i (i)+!si,ji=༅ᇏ.12424๙ݖܙ࠹ഈඍਆোଆ,ٳљ֤֞ਔvsbj,bj,Ddsdi,j=,dbj)(j)PdIi,j+,cj)(j)VOLi,j+bj,dj,dj,j=1,∗,24༢ඔਙ,ૌᄝधն؟ඔj=1j=145౦ྙ༯൞ཁᇷ֥,ཋႿږᆃીႵਙԛࢲݔ.ᆃ ,∋i (i)+!di,jུ༢ඔਙّ႘ਔྐ༏ࢌၞۀੱᄝ҂ࡗ༯ؓi=1ರଽࢌၞหᆘ႕ཙଆൔ֥҂,ّࠧ႘ਔؽᆀܱ i=1,∗,45,j=1,∗,24(17༢֥ರଽྙ.Ϝᆃུ༢ඔਙοᅶ1(ᇿ1ֻ)ఃᇏ3҄)֥ٚمࣉྛਔэߐၛٚьࡼૌ٢ᄝ၂,Vi,j,Si,j,Di,j,PIi,j,VOLi,jٳљսіֻiᆦܢௐֻj۱ࡗ(10min)֥ሧӁ൬ၭѯaनБᅦᇏ.3۳ԛਔэߐު֥vsdsdbj,bj,bj,dj,dj,j=ࡎࡎҵaनӮࢌӻ࿃௹aྐ༏ࢌၞۀੱބनࢌ1,∗,24ਙ.ၞਈ,)(j)ູؓႋ۲۱ࡗ֥эਈ, (i)ູؓႋ۲ᆦܢௐ֥эਈ,ၹՎᆃུଆनູޘࢩ૫ܥקིႋ૫ϰ݂߭ଆ,҂ࣇ҂ܢௐ֥ࢩएཛ҂,ࢳэਈ֥༢ඔᄝ҂ࡗഈ္҂.ଆᄎႨؽࢨ؍ܼၬቋཬؽӰٚمࣉྛܙ࠹,ࢌၞਈቔູ۽ऎэਈ,ൈႨਔޘࢩ૫ࡆಃٚمၛཨԢޘࢩ૫ၳٚҵ֥႕ཙ.3 bv,bs,bd,ds,dd༢ඔਙjjjjjֻ2ো,Ⴈٳгۚඔऌܒᄯೂ༯ਆቆ૫,bs,bd,ds,ddEstimatorseriesjjjjjϰ݂߭ଆᇿ1s ޘቕѓіൕࡗ֥ݼ,ሺቕѓіൕbv,bs,bd,d,jjjjsSddᆴ.ji,t,j=djPsIi,t,j+ejVOLi,t,j+ᇿ2 b(v,j)іൕbvs,b(s,j)іൕb,b(d,j)іൕbd,d(s,j)45jjjіൕds,d(d,j)іൕdd. ,∋jji,j (i,j)+!si,t,ji=1Ֆs3ॖၛुԛs,bi,diਙࠎЧӯགྷ U!Dddddi,t,j=djPIi,t,j+ejVOLi,t,j+(ࠇແ҆ഈ֥ L!),bi,diਙࠎЧӯགྷ ֚45U!,࣐ܵvbiਙᄝᇏ҆Ⴕ၂ק֥ఏڙ,ᆜุ ,∋i,j (i,j)+!di,t,ji=1൝ಯӯགྷ U!.ؓб2,ၛഈਙ֥ರଽྙ i=1,∗,45,t=1,∗,Ti,j,j=1,∗,24ٳљაCsori,Cdori,Cvoriਙ֥ರଽྙᆜุഈ(18)ऎႵ၂ᇁྟ.ᆃ၂ࢲݔᆣૼ,Ч໓෮ҐႨ֥ࡥֆקఃᇏ,ૄቆଆ(ٚӱ)नЇݣj=1,∗,24۱૫ਈٚم෮֤֥ࢲં൞ऎႵ໗ࡲྟ,֥ࢠݺֹѽሚਔϰ݂߭ଆ,ૄ۱10minࡗؓႋ၂۱ଆ.ྐ༏ࢌၞۀੱაರଽࢌၞหᆘᆭܱ༢֥ರଽིႋ.Si,t,j,Di,t,j,PIi,t,j,VOLi,t,jٳљսіֻj۱ଆᇏ,ֻiᆦܢௐֻtгӮࢌؿളൈ֥БࡎࡎҵaӮࢌӻ6 ࢲඏე࿃௹aྐ༏ࢌၞۀੱބࢌၞਈ. (i,j),Ti,jٳљֻູj۱ଆᇏ,ֻiᆦܢௐؓႋ֥эਈၛֻࠣiЧ໓ิԛਔ၂۱ᄝ৵࿃ࣩࡎᆷ౺൧ӆᇏ
∃18∃ܵ ॓ ࿐ ࿐ Б2010୍10ᄅܙ࠹ྐ༏ࢌၞۀੱ֥ଆ.ھଆႵིࢳथਔඔۀੱაࢌၞหᆘ֥ཌྷܱྟॖၛູᆞࠇڵ,ၹՎᄝऌ߄໙,ีିܔႵི࠹ෘ৵࿃ࣩࡎᆷ౺ۚඔऌ༯ؓؽᆀܱ༢֥ژݼ༯קં൞؎.֥൧ӆ֥၂гࢌၞ֥ྐ༏ࢌၞۀ.ੱЧ໓ؓھଆႿھ໙ีླေ۷ູധೆ֥ษ,ંЧ໓ࡹၰࡼՎބࠎႿPINॿࡏ֥ׅࣜྐ༏ࢌၞۀੱଆࣉྛၰีቔູໃট࣮֥ٚཟ.ਔбࢠٳ༅,ؿགྷభᆀؓࡎҵऎႵ۷ݺ֥ࢳ৯.Ч໓൮ູ༵৵࿃ࣩࡎᆷ౺൧ӆ֥ྐ༏ྟࣉ၂҄,ֹЧ໓ؿགྷࠎႿЧ໓ଆ֥ྐ༏ࢌၞۀࢌၞ࣮ิ܂ਔྍ֥ٚم.ႮႿक़ڛਔඔऌੱაܢௐࢌၞหᆘᆭܱ༢ऎႵཁᇷ֥ರଽ߄໙ี,ૌ֤ၛᄎႨھٚم۷ሙಒֹބᆰࢤֹིႋ.؇ਈྐ༏ྟࢌၞ఼֥ӱ؇,ൈିၩטᆜ؇࣐ܵЧ໓࣮ਔྐ༏ࢌၞۀੱაࢌၞหᆘᆭਈ֥ൈࡗٓ.ຶఃՑ,Ч໓ಒಪਔྐ༏ࢌၞۀੱაܱ༢֥ ರଽིႋ!,ܱႿؽᆀܱ༢֥ژݼѩીܢௐࢌၞหᆘᆭܱ༢֥ರଽིႋ֥թᄝ,ᆃູ۷Ⴕቔധೆษ,ંࣇ۴ऌჰ࠹ෘඔऌࣉྛਔࡥေധೆֹ࣮ܢௐࢌၞหᆘ֥ྙӮჰၹ,ၛࠣྐ༏ඪૼ.ᆃ൞ၹ,ູᆞೂЧ໓෮ᆷԛ֥,ႮႿᄝರଽࢌၞؓሧᆀྛູބࢌၞหᆘ֥႕ཙଆൔ֩,ิ҂ൈࡗࡗ(ೂषaᇏބ൬),ྐ༏ࢌၞ܂ਔࣉ၂֥҄ᆷႄ.ҕॉ໓ང:[1] ,ᄻ Ⴇ,นཬ.൧ӆັܴࢲܒંሸඍ[J].ܵ॓࿐࿐Б,2003,6(5):,ZengYong,TangXiao [J].,6(5):87-98.(inChinese)[2]JaffeJF,WinklerRL,Optimalspeculationagainstanefficientmarket[J].TheJournalofFinance,1976,31(1):49-61.[3]ລၪ߰,ਗ ,֬ཬํ.҂ؓӫྐ༏,ࢌၞӮЧބሧᆀЌ:ଽֹ(ᇏݓն)ބཐ֥ۖбࢠ࣮[J].ࣁವ࣮,2003,10: hu,iLiaoL,iDengXiao ,tradingcostandinvestorprotection:ComparisonbetweenmainlandandHongKong[J].JournalofFinancialResearch,2003,10:27-36.(inChinese)[4]Խڂ, ဉ.ҩਈܢௐࢌၞᇏ֥ྐ༏ݣਈ[J].ܵ۽ӱ࿐Б,2004,18(3): feng,[J].JournalofIndustrialEngineeringandEngineeringManagement,2004,18(3):42-46.(inChinese)[5]HuangR, askspread:Ageneralapproach[J].ReviewofFinancialStudies,1997,10(4):995-1034.[6]໓ڃ,ᇫ ᄉ,Ԋڃ,֩.Bܢཟଽंष٢ؓ൧ӆྐ༏҂ؓӫ֥႕ཙ∃∃∃ઙછࡎҵٳࢳٚم[J].ܵ॓࿐࿐Б,2007,10(6): feng,ZhuYun,WuChong feng,'openingtodomesticinvestorsoninformationasymmetry -Usingbid askspreaddecompositionmethod[J].JournalofManagementSciencesinChina,2007,10(6):57-64.(inChinese)[7]EasleyD,,informationandinfrequentlytradedstocks[J].TheJournalofFinance,(4):1405-1436.[8]QinLe,i . varyinginformedanduninformedtradingactivities[J].JournalofFinancialMarkets,:153-181.[9]MAT,HSIEHM, drivenmarket[C].9thConferenceontheTheoriesandPracticesofSecuritiesandFinancialMarkets,2000.[10]BrockmanP,,order drivenenvironment[J].TheFinancialReview,2000,35(2):125-146.[11]ਾթ, ழ.ྐ༏ྟࢌၞۀੱބྐ༏ڄགၮࡎ࣮[J].ᇏݓࣁವ࿐,2006,1: cun,[J].ChinaJournalofFinance,
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∃20∃ܵ ॓ ࿐ ࿐ Б2010୍10ᄅturnvolatility,,tfirstly,,intradayeffectsoftherela tionsbetweenprobabilityofinformedtradingandtradingcharacteristicsdoexis,:continuousauctionorderdrivenmarke;tprobabilityofinformedtrading;tradingcharacteristic;intradayeffectڸ1)රಖݦඔL(CF)֥ܒᄯt|t൮༵,҂ॉ੮I҂ॖܴҩᆃ၂ཋᇅ,ࠧ۳קIᆴ,C่֥ࡱۀੱP(CI=m,F),ॖႮൔ(F-1)۳ԛ.ఃᇏC=1,tttt|ttt2,∗,5,m=0,1,F=(C,C,∗,C,Q,Q,∗,Q)ູᇀtൈख़֥ྐ༏ࠢ.tt-1t-21tt-11P(CI=m,F)=t|tt ( #1-u+ +m)Qit C=1∀t() -( + +m)Q -( + +mctC)Qt#tui-#t-1ui C =2,3,4(F-1)(∀)(∀t) 1-#4-( u+ +m)Qit C=5(∀t)ᄵCაI่ܱ֥ࡱૡ؇ݦඔॖႮ༯ൔԛtt1P(CF)=P(I=mF)+P(CI=m,F)(F-2)t|t,t|tt|ttm=0གྷᄝॉ੮I҂ିФܴҩ֥໙ี,ھ໙ี֝ᇁP(I=mF)ໃᆩ,ᄵൔ(F-2)۳ԛ่֥ࡱۀੱ҂ିФԛ.ᆃႋtt|tႨઔغॖڏሑሇߐٚمࢳथھ໙ี.IڛՖ၂ࢨઔغॖڏݖӱ,P={ptmm},m,n=0,1,0−pmm−1ູ࣡ሑሇ၍इᆔ,ఃᇏpmn=p(I=nIt|t-1=m)(F-3)P(I=mF),m=0,1ູtൈख़I=m֥൙భ؎ۀੱ.ၛՎູࠎԤ,۳קԚᆴP(IFt|tt1=m|1)ࠣཌྷႋҕඔ֥Ԛᆴ,P(I=mF)ॖၛ๙ݖၛ༯ਆ҄םսݖӱࠆ֤t|tP(It-1=mFP|t-1)+P(Ct-1=m,F|t-1(It-1=mC(F-4)|t-1,Ft-1)=P(CFt-1|t-1)1P(I=mtF|t)=,pmn+p(It-1=mC|t-1,Ft-1)(F-5)n=0ၛഈݖӱॖҕHamilton[27]ؓՎ֥ᆣૼ.ᇀՎ,P(CF)ၘॖປಆԛ,ၹՎൔ(7)۳ԛ֥රಖݦඔٚӱॖФܒt|tᄯ֤ԛ.2)Kim߁ۀੱםսෘمP(I=mCt|T,FT)=P(IT=mF|T)+P(CTI|T=m,FT) t=TP(CF)T|T(F-6)2P(It+1=mC|T,FT)P(I=mC,F)+ 1−t−Tt|tt,pmn+n=1P(It+1=mF|t+1)
