【摘要】：本文運(yùn)用計算實(shí)驗(yàn)金融的相關(guān)理論和Agent-based建模方法研究股指期貨市場投資者結(jié)構(gòu)對于市場流動性的影響,特別是噪音交易者的比例與市場流動性間的關(guān)系。和以往學(xué)者對市場流動性的研究方法不同,本文借助股指期貨的仿真平臺U-Mart,把市場投資者結(jié)構(gòu)作為可控變量,設(shè)計了五組具有不同市場投資者結(jié)構(gòu)的實(shí)驗(yàn)組,然后分別進(jìn)行仿真實(shí)驗(yàn)。首先,根據(jù)U-Mart平臺自身的特點(diǎn),選擇噪音交易策略、趨勢交易策略、反趨勢交易策略、移動平均交易策略和日內(nèi)交易策略作為市場所有可能的投資策略,并且把運(yùn)用這些策略的投資者之間的不同比例看成市場投資者結(jié)構(gòu);接下來按照噪音交易者的比例依次為100%、80%、60%、40%和20%的情況確定實(shí)驗(yàn)組各類投資者的數(shù)量,開始仿真實(shí)驗(yàn);最后,計算各實(shí)驗(yàn)組反映市場流動性的有效流速和成交幾率兩指標(biāo),并分析指標(biāo)值的變化情況。 通過仿真實(shí)驗(yàn),本文得出如下結(jié)論:當(dāng)噪音交易者在股指期貨市場中所占的比例越大時,市場的有效流速和成交幾率值也越大,說明市場流動性越好,但是這兩個流動性指標(biāo)值的波動率也相應(yīng)較大,說明市場穩(wěn)定性較差。本文發(fā)現(xiàn):噪音交易者的比例為60%至80%時,市場的運(yùn)行情況最為理想。另外,本文也發(fā)現(xiàn),當(dāng)股指期貨市場的投資策略更加豐富時,市場的流動性有所改善。本文的研究結(jié)論對于我國推出才一年多的股指期貨市場具有一定的參考價值,說明進(jìn)行投資者教育工作是十分必要的。
[Abstract]:In this paper, the influence of investor structure on market liquidity in stock index futures market, especially the relationship between the proportion of noise traders and market liquidity, is studied by using the theory of computational experimental finance and Agent-based modeling. Different from the previous research methods of market liquidity, this paper designs five groups of experimental groups with different market investor structures, which are based on U-Marts, a simulation platform of stock index futures, and the structure of market investors as controllable variables. Then the simulation experiments are carried out respectively. Firstly, according to the characteristics of U-Mart platform, noise trading strategy, trend trading strategy, anti-trend trading strategy, mobile average trading strategy and intraday trading strategy are selected as all possible investment strategies in the market. The different proportion of investors using these strategies is regarded as the structure of market investors. Then, according to the proportion of noise traders, 100% and 20% respectively, the number of investors in the experimental group is determined, and the simulation experiment is started. The effective flow rate and transaction probability of each experimental group were calculated, and the change of index value was analyzed. Through the simulation experiments, this paper draws the following conclusions: when the proportion of noise traders in the stock index futures market is larger, the market effective velocity and transaction probability value are also larger, which indicates that the market liquidity is better. However, the volatility of these two liquidity indices is also relatively large, indicating that the market is less stable. It is found that when the proportion of noise traders is between 60% and 80%, the market is in the best condition. In addition, the paper also finds that the liquidity of stock index futures market is improved when the investment strategy of stock index futures market is more abundant. The conclusion of this paper has a certain reference value for the stock index futures market which has been launched for more than a year in our country. It shows that it is very necessary to carry on the investor education work.
【學(xué)位授予單位】：天津大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.5;F224

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