基于VWAP 基准的中国股市日内交易量的分解与建模研究

Decomposing and Modeling of Intraday Volume of Chinese Stock Market Based on VWAP Benchmarks

摘要: 基于VWAP 基准对中国股票市场日内交易量进行分解，依据中国的实际情况，提出跟踪中国市场交易量变化的最佳模型。利用超高频交易数据，实证检验影响中国股票市场交易量变化的几种因素，并对日内动态交易量进行分解和建模，结果表明，SETAR 模型经验证比当前市场上广为使用的模型更适宜进行跟踪市场VWAP 价格。

Abstract: Abstract: The decomposing and modeling of intraday volume for large security positions based on VWAP benchmarks in Chinese stock market are studied in this paper. The paper investigates that there are many factors having an impact on intraday volume, the results show that in Chinese stock market, common factors play an important role on the impact of volume. And the SETAR model that the paper present has the better performances on the estimation accuracy and implementation of VWAP strategies