Research on Asymmetry Information and Order Behavior in Order-Driven Market

Investor’s order behavior directly reveals his willingness. Investors usually submit their orders according to their information. Different information will lead to diversity order behavior. In this paper, based on the asymmetry information, an investor’s order choice model in Chinese order-driven market is constructed, and then the role of asymmetry information on order submission strategy is investigated. By modifying the restriction on the duration of information, this paper discusses private information duration and uninformed investor’s learning process and investor’s optimal order strategy, and then concludes that when informed investor places market order, uninformed investor is more inclined to place limit order; only at the beginning of trading when informed investor places limit order, the uninformed buyer is more inclined to place market order.