Abstract: Based on the framework of continuous trading, this paper constructs a theoretical model to investigate the characteristics of market equilibrium and order strategies of informed traders, considering liquidity constraints and information risk. It is revealed that order strategies vary by different levels of liquidity constraints and information risk from the aspects of transaction size, the uniformity of order splits, and transaction delays. Informed traders would submit conservative orders to control liquidity shocks and aggressive orders to deal with information risks. The optimal trading strategy is an equilibrium strategy in a specific market state. The conclusions not only reveal the information transmission in the process of “market conditions-investor behaviors-price discovery”, but also provide theoretical shreds of evidence for order strategy decisions and policy development.

Key words: liquidity constraints, information risk, informed trading, price discovery, order split

摘要： 基于连续交易市场分析框架，构建理论模型研究了流动性冲击和信息风险条件下的市场出清过程和订单策略特征。研究发现，流动性冲击和信息风险影响着投资者的订单规模、订单拆分的均匀程度以及交易延迟等特征。知情交易者往往采取更加保守的交易策略来控制流动性冲击，采取更加激进的交易策略来应对信息风险。在最大化期望收益的目标约束下，知情交易者的最优交易策略是特定市场状态下的均衡策略。研究结论揭示了“市场状态-投资者行为-价格发现”的微观传导过程，拓展了对交易策略、信息传递与价格效率的理论研究，能够为投资者订单策略的制定和优化提供参考，为合理引导投资者行为提供政策启示。

关键词: 流动性冲击, 信息风险, 知情交易, 价格发现, 订单拆分