我国A股市场是典型的指令驱动市场，与传统报价驱动方式不同，投资者可以提交市价单和限价单，这些订单按照“价格优先，时间优先”的原则自动匹配成交，而未成交的限价单累积形成限价指令簿。由于限价指令簿中含有大量偏离最优报价的订单，很多学者认为这些未成交的订单具有一定的信息含量，从限价指令簿中提取的信息能够极大地帮助股价短期预测。除此之外，在具体交易细节中，投资者还面临订单选择的决策问题，这也取决于限价指令簿的状态和变化特征。因此，建立模型来刻画限价指令簿信息显得十分必要，而本文的目的就是试图建立限价指令簿的动态模型。 本文建立了动态限价指令簿模型。首先，由于限价指令簿的动态变化是各类订单流累积的表现...Both two of our stock exchanges in China are order-driven markets. This market structure differentiates itself from traditional quote-driven market in that investors can submit limit orders as well as market orders, which are matched under the rule of price and time preference. The unclosed limit orders pile up and come into being the limit order book (LOB). The LOB, which contains additional info...学位：经济学硕士院系专业：经济学院_金融工程学号：1562011115194
