讲座题目：A Fine Lens on Common Trading Flows
内容摘要：We study systematic trading activities at ultra-high frequencies and their implications for price formation. A continuous-time, high-dimensional factor model is proposed for stock trading volume. This model features a Common Trading Intensity (CTI) factor that captures common trading flow. We develop estimation and inference theories for studying the fine dynamics of CTI. Using trading volume data from U.S. equities, we find strong negative temporal dependence in short-horizon CTI movements, pointing to the presence of intraday systematic liquidity frictions. Moreover, large negative CTI shocks coincide with intraday price reversals, whereas large positive CTI shocks coincide with price continuation. Both effects are highly transitory and unwind rapidly, suggesting efficient intraday systematic liquidity rebalancing. This is based on joint work with Songze Shi.
主讲人简介：丁一博士现任澳门大学工商管理学院商业经济学副教授。她在香港科技大学获得商业统计学博士学位，并在清华大学获得数学与应用数学学士学位。加入澳门大学之前，丁博士曾在香港理工大学应用数学系担任研究助理教授。她的研究主要集中在金融计量经济学、金融大数据以及高维统计学领域。丁博士已在 The Annalsof Statistics、Journal of the American Statistical Association、Journal of Econometrics 等顶级学术期刊发表论文,并担任多个研究项日的负责人，这些项目获得了国家自然科学基金、香港研究资助局以及澳门科学技术发展基金的资助。
报告时间：2026年11月03日(周二)，16:30-18:00
线下地点：厦门大学经济楼C108
线上地点：腾讯会议 ID：231 499 965
