吴昊_品职助教 · 2021年04月12日
嗨,爱思考的PZer你好:
同学你好:
你列的固收的结论没有问题。在trading中强调的是订单大小和市场冲击成本的关联,而不是订单大小和流动性的关联。
市场冲击成本和流动性直接关联,如果一个金融产品的流动性较好,也就是说市场很容易吸收掉这个订单,也就是该订单对市场产生不了太大的波澜,即市场冲击成本越小,反之亦然。
A security’s liquidity profle affects how quickly the trade can be executed, in addition to expected trading cost, and is a signifcant consideration in determining trade strategy. All else being equal, greater liquidity reduces execution risk and trading costs, such as market impact. Bid–ask spreads indicate round-trip trading costs for trades of a given maximum size (as they are associated with a maximum quantity). As a result, bid–ask spreads indicate both trading costs and the amount of a security that can be traded at a given point in time (market depth), which affects how larger trades might need to be broken down into smaller orders for trading. Average trade sizes observed in past data provide additional information on quantities that can be traded at reasonable trading costs for a given security.
以上这一段节选自原版书关于security liquidity这一部分知识点的原文。最后的average trade size只是点到而已,并不是我们流动性需要考虑的主要因素。
每门学科的参考书和编写者都不一样,所以可能对于同一个知识点的侧重点也有所不同,同学可以不用太过于纠结,分开理解较好。
----------------------------------------------虽然现在很辛苦,但努力过的感觉真的很好,加油!