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International Conference on Engineering and Business Management (EBM 2010 PAPERBACK)

Chengdu,China,China,3.24-3.26,2010

ISBN: 978-1-935068-05-1 Scientific Research Publishing, USA

Paperback 6066pp Pub. Date: March 2010

Category: Engineering

Price: $280

Title: Price Formation Mechanism Model under the Order-driven Market
Source: International Conference on Engineering and Business Management (EBM 2010 PAPERBACK) (pp 4317-4320)
Author(s): Xudong Lin, Shenzhen University of Management Science and engineering, Shenzhen 518060, China
Tingting Sun, Shenzhen University, Shenzhen 518060, China
Abstract: Abstract: In this paper, we analyze the reality of China's securities market characteristics, especially the more stringent restrictions on short selling. We set the information structure and the differences opinion as two friction factors of the market price movements and try to explore them in the role of price formation. We analyze the nature of the equilibrium bid-ask spread and the relationship between the friction factors and the spread.
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