本論文中，我們使用紐約證券交易所的高頻資料，並應用統計的方法將每一筆數據區分為兩種類型：具有影響力交易以及一般流動性交易。首先，我們將高頻資料依報酬率建立了價量模型。接著我們將每筆交易依據其交易價、交易量、報價以及報量區分為四種類型，並計算這四種類型加權交易量的推移機率，結果顯示具有影響力交易以及一般流動性交易的推移機率有明顯的不同。此外我們將考量四個市場反應變數，並利用這些變數對具有影響力的交易建立邏輯斯特迴歸模型，並利用勝算比來選擇適當的分界點，藉此模型可以預測具有影響力的交易發生的機率。

In this study, we consider high frequency transaction data of NYSE, and apply statistical methods to characterize each trade into two classes, influential and ordinary liquidity trades. First, a median based approach is used to establish a high R-square price-volume model for high frequency data. Next, transactions are classified into four states based on the trade price, trade volume, quotes, and quoted depth. Volume weighted transition probability of the four states are investigated and shown to be distinct for informed trades and ordinary liquidity trades. Furthermore, four market reaction factors are introduced and studied. Logistic regression models of the influential trades are established based on the four factors and odds ratios are used to select the cutoff points.

1.Introduction........................................................................1
2.Data Description and the Role of the Specialist ...... 3
2.1 Data description...........................................................3
2.2 The Role of the Specialist in the NYSE Market........4
3.Influential Trades..............................................................5
3.1Influential Trades...........................................................5
3.2Price-Volume model......................................................7
3.3Four Trade States..........................................................9
4. Market Reaction Factors and Logistic Regression Model...12
4.1 Market Reaction Factors............................................12
4.2Logistic Regression Model........................................14
5. Conclusion.....................................................................17
Appendix A..........................................................................18
Appendix B..........................................................................23
References.........................................................................31

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