本文關(guān)鍵詞：基于計算實驗金融的個股期權(quán)市場交易制度研究　出處：《天津大學》2014年碩士論文　論文類型：學位論文

  更多相關(guān)文章： 個股期權(quán) 計算實驗金融 做市商交易機制 混合交易機制

【摘要】：近年來,我國金融市場改革逐步深化,市場化水平不斷提高,并且陸續(xù)推出了不同金融衍生產(chǎn)品,但仍舊無法滿足我國衍生品市場的發(fā)展和投資者們的需要。期權(quán),作為國際衍生品市場上交易最為活躍的衍生工具之一,為投資者進行風險管理與資產(chǎn)配置提供了更多有效途徑和工具,在健全資本市場運行機制方面也發(fā)揮了非常重要的作用。個股期權(quán)的推出對于我國金融市場的不斷完善具有重要意義,因此,本文使用計算實驗金融的方法,對于我國個股期權(quán)市場交易制度以及做市商交易機制的引入進行了研究。本文的研究能夠為我國推出個股期權(quán)提供支持和參考。在本文研究過程中,首先對于計算實驗金融理論、做市商交易機制和核心定價理論進行了系統(tǒng)性梳理,為本文的研究提供了非常重要的理論依據(jù);通過分析研究國際主要個股期權(quán)市場的成功實踐經(jīng)驗并加以引用和借鑒,為本文的研究提供了現(xiàn)實支撐。本文突破以往對于做市商交易機制進行定性研究的局面,使用計算實驗的方法,構(gòu)建了一個基于做市商交易機制的人工個股期權(quán)市場,通過構(gòu)建做市商最優(yōu)報價確定模型和投資者投資決策模型,對做市商和投資者行為分別進行了具體設(shè)計,最終建立起仿真模型并進行仿真實驗;在此基礎(chǔ)上,本文又進一步對純粹的做市商交易機制進行了改進和拓展,將連續(xù)雙向拍賣交易機制引入到模型中,形成混合交易制度,在該制度下投資者可以自由選擇交易方式,即選擇“即時成交”與做市商進行交易或者提交“限價訂單”與其他投資者進行交易,從而構(gòu)建了一個全新的基于混合交易制度的人工個股期權(quán)市場仿真模型,并從設(shè)置不同參數(shù)組合與不同即時成交比例兩個角度出發(fā)分別進行了兩組仿真實驗。通過運行仿真實驗并對實驗結(jié)果進行分析研究,可以發(fā)現(xiàn),設(shè)置不同的模型參數(shù)會對個股期權(quán)的價格變化和成交情況產(chǎn)生不同影響;在個股期權(quán)市場中引入做市商交易機制能夠在穩(wěn)定市場價格以及為市場提供流動性等方面發(fā)揮重要作用。通過對比分析所構(gòu)建的兩個仿真模型的實驗結(jié)果,可以發(fā)現(xiàn)混合交易機制能夠使個股期權(quán)市場更加有效,而選擇混合交易制度也將有助于我國個股期權(quán)市場的健康發(fā)展。
[Abstract]:In recent years, China's financial market reform has gradually deepened, the level of marketization has been improved, and one after another introduced different financial derivatives. But still can not meet the development of the derivatives market in China and the needs of investors. Options, as one of the most active derivatives in the international derivatives market. It provides more effective ways and tools for investors to carry out risk management and asset allocation. The introduction of individual stock option is of great significance to the continuous improvement of the financial market in China. Therefore, this paper uses the method of calculating experimental finance. This paper studies the introduction of individual stock option trading system and market maker trading mechanism in China. The research in this paper can provide support and reference for the introduction of individual stock option in China. Firstly, it systematically combs the computational experimental finance theory, market maker trading mechanism and core pricing theory, which provides a very important theoretical basis for the research of this paper. By analyzing and studying the successful practical experience of international individual stock option market, we can quote and draw lessons from it. This paper breaks through the situation of qualitative research on the trading mechanism of market makers in the past, and uses the method of calculation experiment. This paper constructs an artificial stock option market based on the market maker trading mechanism, and designs the market maker and investor behavior respectively by constructing the market maker optimal quotation determination model and investor investment decision model. Finally, the simulation model is established and the simulation experiment is carried out. On this basis, this paper further improves and extends the pure market maker trading mechanism, and introduces the continuous two-way auction trading mechanism into the model to form a mixed trading system. Under this system, investors are free to choose the way of trading, that is, to trade with the market maker or to submit a "price limit order" to trade with other investors. Thus, a new artificial individual stock option market simulation model based on mixed trading system is constructed. Two groups of simulation experiments are carried out from the two angles of setting different parameter combinations and different instant transaction ratio. By running the simulation experiment and analyzing the experimental results, we can find out. Setting different model parameters will have different influence on the price change and transaction of individual stock option. The introduction of market-maker trading mechanism into the individual stock option market can play an important role in stabilizing the market price and providing liquidity for the market. The experimental results of the two simulation models are compared and analyzed. It can be found that the mixed trading mechanism can make the individual stock option market more effective, and the choice of the mixed trading system will also contribute to the healthy development of the individual stock option market in China.
【學位授予單位】：天津大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F724.5

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