Research on Determinants of Trade Order Aggressiveness and Trade Duration in Chinese Security Market
中国证券市场成交指令积极性及成交持续期的影响因素研究

Categorizing the trade order set based on their trading price and trading value as a proxy of order submitting aggressiveness,this paper makes an empirical research on Shanghai security market using tick by tick high-frequency data.Applying ordered probit model and LOG-ACD model respectively,it studies how the information from tick by tick market data affects the trade order aggressiveness and the trade duration,and analyses the key information factors which determine the aggressiveness and the duration of trade.The empirical evidences show that as the temporary quote volatility increases,or the spread decreases,or the depth of the best quotes on the same side of the market increases,or the depth of the best quotes on the opposite side of the market decreases,the probability of less aggressive trade order categories decreases,while the probability of more aggressive trade order categories increases,i.e.,the trade order aggressiveness in fact increases.On the contrary,if the conditions are opposite,then the opposite results are obtained.Furthermore,the information set of the best quotes is the key factor in determining the trade order aggressiveness.It also concludes that as the temporary quote volatility increases,or the spread decreases,or the depth of three quotes on both sides of market increases,the trade duration is shortened.On the contrary,the opposite results are obtained if the conditions are opposite.Furthermore,neither the information set of the best quotes nor the information set beyond the best quotes is key factor in explaining the trade duration.