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200411:100026788(2004)01200012101,2,3,3(1.,200433;2.,200120;3.,200052):,L,,;,,,L,L:;;;:F224:ATradingStrategiesinBlindCallAuction:ModelsandEmpiricalAnalysisofShanghaiStockExchangePANDeng1,LIUTi2,LIUHai2long3,WUChong2feng3(1.SchoolofEconomics,FudanUniversity,Shanghai200433,China;2.ResearchCentre,ShanghaiStockExchange,Shanghai200052,China;3.FinancialEngineeringResearchCenter,ShanghaiJiaoTongUniversity,Shanghai200120,China)Abstract:Basedontheorderdistributionassumption,thispapersetsupastrategictradinggamemod2elofblindcallauction.Thismodelimpliesthattheindividualinvestorisnotwillingtoattendthecallauctionorneedsriskcompensation.Thereforethebankercannotcarryoutnormaltradestrategyandinclinetomarketmanipulation.TheempiricalanalysisofShanghaiStockExchangesupportsthemodelandindicatesthatthecallauctionmechanismofChinesestockmarketsneedsimprovements.Keywords:callauction;marketmicrostructure;tradestrategy;marketmanipulation;:2003201202:(70173031);(70025303):(1976-),,,,L1LLL(),,,,L,,,,,,L,,L,;,LL:1)(,,,)L©1995-2004TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.2)L()LMEV,MEV=min(CBQ,CSQ)L3),ZMAV,pMAV,[MAV,pMAV]=max[MEV(p)]Z,,,Z,,,,L,L,,LTheissen(2000),,LLauterbach&Wohl(2001),LAmihud,Mendelson&Lauterbach(1997),L,L,LL,L22.1,,L,:,;,.,L,:;;L,,,:1,nb,nsZpb,mb;ps,msZ6Z2nb,ns,KbKs,P(nb)=Knbbnb!e-Kb,nb=0,1,2,(1)P(ns)=Knssns!e-Ks,ns=0,1,2,(2)KbKsZ1pbb220041,,,,,L©1995-2004TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.P(b)=e-KbPbppb(1-Pppb)bb!eAAb-eAAb#(-b,A)#(-b)(3)E(b)=KbPbppb(4)A=Kb(1-Pppb)=Kb-KbPppb(5)#(-b,A)=At-b-1e-tdt(6)Pppb=1-F(pb)(7)F(pb)pbZ,pbpppb=1-F(pb)(8)Nb,Bpb,P(nb=Nb,b=B)=CBNb(Pppb)B(1-Pppb)Nb-B(9)b=BpbP(b=B)=6Nb=0[P(b=Bûnb=Nb)P(nb=Nb)](10)nb,Mathematica,b,(3)ZE(b)=6b=0bP(b)(11)(3)(5),E(b)=exp(-KbPppb)KbPppb6b=11(b-1)!(KbPppb)b-1(12)6b=11(b-1)!(KbPppb)b-1=6b=01b!(KbPppb)b-1=exp(KbPppb)(13)(12),,(4),.2pssP(s)=e-KsPspps(1-Ppps)bs!eABs-eBBs#(-s,B)#(-s)(14)E(s)=KsPspps(15)B=Ks(1-Ppps)=Ks-KsPpps(16)Ppps=F(ps)(17)#(-s,B)=Bt-s-1e-tdt(18)F(ps)Z,psPpps=F(ps)(19)31©1995-2004TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.3,Z,34(2),Z2.2,,,;,,Z,,,Z3,pvZ3(pv),()Z3():p=ps=pbmaxp{[E(ms)KsPbpps-E(mb)KbPbppb](p-pv)}(20),p-pvZpsE(s),pbE(b),p=ps=pb,:Q=E(ms)E(s)-E(mb)E(b)(21)Q,,Zpv,,pQ(p-pv)Zmaxp[Q(p-pv)]=maxp{[E(ms)E(s)-E(mb)E(b)](p-pv)}(22)(4)(15),Z11:10.0550000,1010.05Z,50000,Z2.3,,,Z,,Z,Z,,Z,,Z,,()Z2.4,Z,E(ms)E(mb)KsKbZ,E(ms)E(mb)KsKb,(20):E(m)Kmaxp[(Pbpps-Pbppb)(p-pv)](23)pv,PbppsPbppb,p-pvZ(23),,420041©1995-2004TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.,,L,,,L,,L22.5L2L,,,,,L33.1(,),,200112L112L1(2001)()(%)()()04-232150187-0.0925631606-142245179-1.7826131606-29221896-0.0615216007-27206679-1.3513515107-30195797-5.2716320907-31192088-1.8714316910-22152143-3.299811110-2316711519.8620922510-2417182342.8433039310-251676119-2.4222022911-151621270.26736512-031763960.831631903.2,,PTL:915,925,,L92530L930,LL,L:1);2);3);4),()L,L3.351,12,DBF6000L©1995-2004TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.,,LL3200162910L,10,,L310(2001629)21210,3L20011023(),96.6%,,,()L2002731,35.89%,,,,L210(2001)(9:15-9:25)(9:30-9:40)04-23102668517721544401026689043219310079.98%06-1435121775221126438918110783419701557.17%06-29213714994371314515475482710637467.04%07-2718518277174623542352341357648760.45%07-3012382312174359940238527269296446.90%07-31198702250442374782663978411805035.89%10-2212511230253553642946295177246349.04%10-232213461685423820011312313345324657696.60%10-249404717663527068214516820232934749777.89%10-252206817065419272211835713866025701774.98%11-1514435238773831225119336795879865.16%12-03203643984260206468506171210856255.46%4955859297108855746518159115624263.88%3.4,:,:620041©1995-2004TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.-100à(24),,;L42001629L,4%,6.03%,L4(2001629)3(2001)04-2322.75%12.40%5.11%06-1416.59%6.28%5.06%06-2910.21%3.30%6.03%07-2710.23%4.67%6.55%07-3024.26%7.43%6.15%07-3122.08%13.46%6.45%10-2215.71%7.26%7.80%10-233.32%74.22%4.62%10-2424.5%7.70%7.30%10-2525.1%3.01%7.87%11-155.69%3.75%7.97%12-0314.89%5.51%6.09%16.28%12.42%6.42%312,L,L3:10232001,,,74.22%,,3.32%,,4.62%;7301025,,;11152001,,,7.97%,,5.69%3.75%L3.5,71©1995-2004TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.L520016291%,L100,100,688L51%(2001629)62001629L,L6,60;146L68%,10%,10%,L7L,60,60L,L30,100;506%,250L6(2001629)7(2001629)412,LL11152001,4()(2001)-8%-6%-4%-2%-1%+1%+2%+4%+6%+8%04-23757164462931488711913606-147874665034418315319622006-29595547311717398812214607-27353430201181740627807-302624211510162650718807-316556472815172539516210-222420148581424344110-2380051327715312518öööö10-2421818913781545110022539646610-255145362113378018930638811-152825199451126384812-034038342515153163849812595664128224389134161820041©1995-2004TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.,451%,288%,488%L3.6,LL82001L,,,15.3%L,,,L8L,124(423614629123)L:10,10L9,,L,1%,20%,3%,100%L,:,L94,L,,,,,,,,LL91©1995-2004TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.,,,,,()L,,;,L,L,,,(),,,L,(1),,(3)(10),,L:[1]Allen.Franklin,Dou