基于Agent的漲跌幅限制模擬研究
發(fā)布時間：2019-03-31 18:48
【摘要】：漲跌幅限制機制是最主要的股票市場穩(wěn)定措施之一,近年來對其研究已經(jīng)進(jìn)行了卓有成效的研究,常用的實證檢驗方法主要是對漲跌幅限制制度的事后研究,因此在漲跌幅限制制度實施之前很難對其實施的效果進(jìn)行準(zhǔn)確預(yù)測。隨著計算機技術(shù)的飛速發(fā)展,一些學(xué)者已經(jīng)開始嘗試借助信息技術(shù)的強大優(yōu)勢,實現(xiàn)基于主體的微觀建模,模擬能夠揭示實際市場規(guī)律的金融市場。 本文首先從股票市場的投資者結(jié)構(gòu)以及投資者行為不同的假設(shè)出發(fā),利用計算實驗金融方法構(gòu)建了一個由技術(shù)面交易者和基本面交易者共同訂單驅(qū)動的、基于Agent的人工股票市場模型,并在MATLAB軟件平臺上進(jìn)行數(shù)值模擬,模擬結(jié)果表明所構(gòu)建的人工股票市場與真實市場具有相似的統(tǒng)計特征,股票價格有過度波動、泡沫與崩潰、收益的厚尾現(xiàn)象等特征。然后,在這一人工股票市場上進(jìn)一步引入漲跌幅限制,分別從市場效率、波動性和流動性三個方面探討了漲跌幅限制制度對股票市場的影響,發(fā)現(xiàn)漲跌幅的引入減小了市場的波動性,增加了個股的流動性,但是過分的漲跌幅限制會由于推遲價格達(dá)到有效的均衡水平,從而延遲價格發(fā)現(xiàn)過程。接著分析了個體行為和賣空約束對漲跌幅限制政策實施效果的影響,發(fā)現(xiàn)增加技術(shù)面交易者的比例及引入賣空約束都會增大股市的波動性,對漲跌幅限制制度的實施效果起削弱的作用。最后,根據(jù)本文得出的結(jié)論給出了相應(yīng)的政策建議。 本文所構(gòu)建的人工股票市場為今后的研究提供了一個良好的實驗平臺。
[Abstract]:The mechanism of price limit is one of the most important measures to stabilize the stock market. In recent years, the research on it has been very effective, and the commonly used empirical test methods are mainly the post-study on the limit system of the increase and decline. Therefore, it is difficult to accurately predict the effect of the price limit system before it is implemented. With the rapid development of computer technology, some scholars have begun to use the powerful advantages of information technology to realize the micro-modeling based on the agent, and to simulate the financial market which can reveal the law of the actual market. Based on the assumption that investors' structure and behavior of stock market are different, this paper uses computational experimental financial method to construct a common order driven by technical traders and fundamental traders. The artificial stock market model based on Agent is simulated on the MATLAB software platform. The simulation results show that the constructed artificial stock market has similar statistical characteristics with the real market. The stock price fluctuates excessively, bubbles and collapses, and the results show that the artificial stock market has the same statistical characteristics as the real stock market. The phenomenon of thick tail of income, etc. Then, in this artificial stock market, further introduce the price limit, respectively from the market efficiency, volatility and liquidity three aspects of the impact of the price limit system on the stock market. It is found that the introduction of the rise and fall reduces the volatility of the market and increases the liquidity of individual stocks, but the excessive price limit will delay the price discovery process by delaying the price to an effective equilibrium level. Then it analyzes the impact of individual behavior and short selling constraints on the implementation of the price limit policy. It is found that increasing the proportion of technical traders and introducing short selling constraints will increase the volatility of the stock market. To the rise and fall limit system of the implementation of the effect of play a weakening role. Finally, according to the conclusions of this paper, the corresponding policy recommendations are given. The artificial stock market constructed in this paper provides a good experimental platform for future research.
【學(xué)位授予單位】：中南大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F831.51;F224
本文編號：2451179
[Abstract]:The mechanism of price limit is one of the most important measures to stabilize the stock market. In recent years, the research on it has been very effective, and the commonly used empirical test methods are mainly the post-study on the limit system of the increase and decline. Therefore, it is difficult to accurately predict the effect of the price limit system before it is implemented. With the rapid development of computer technology, some scholars have begun to use the powerful advantages of information technology to realize the micro-modeling based on the agent, and to simulate the financial market which can reveal the law of the actual market. Based on the assumption that investors' structure and behavior of stock market are different, this paper uses computational experimental financial method to construct a common order driven by technical traders and fundamental traders. The artificial stock market model based on Agent is simulated on the MATLAB software platform. The simulation results show that the constructed artificial stock market has similar statistical characteristics with the real market. The stock price fluctuates excessively, bubbles and collapses, and the results show that the artificial stock market has the same statistical characteristics as the real stock market. The phenomenon of thick tail of income, etc. Then, in this artificial stock market, further introduce the price limit, respectively from the market efficiency, volatility and liquidity three aspects of the impact of the price limit system on the stock market. It is found that the introduction of the rise and fall reduces the volatility of the market and increases the liquidity of individual stocks, but the excessive price limit will delay the price discovery process by delaying the price to an effective equilibrium level. Then it analyzes the impact of individual behavior and short selling constraints on the implementation of the price limit policy. It is found that increasing the proportion of technical traders and introducing short selling constraints will increase the volatility of the stock market. To the rise and fall limit system of the implementation of the effect of play a weakening role. Finally, according to the conclusions of this paper, the corresponding policy recommendations are given. The artificial stock market constructed in this paper provides a good experimental platform for future research.
【學(xué)位授予單位】：中南大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F831.51;F224
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