基于Agent的涨跌幅限制模拟研究

发布时间：2019-03-31 18:48

【摘要】：涨跌幅限制机制是最主要的股票市场稳定措施之一,近年来对其研究已经进行了卓有成效的研究,常用的实证检验方法主要是对涨跌幅限制制度的事后研究,因此在涨跌幅限制制度实施之前很难对其实施的效果进行准确预测。随着计算机技术的飞速发展,一些学者已经开始尝试借助信息技术的强大优势,实现基于主体的微观建模,模拟能够揭示实际市场规律的金融市场。本文首先从股票市场的投资者结构以及投资者行为不同的假设出发,利用计算实验金融方法构建了一个由技术面交易者和基本面交易者共同订单驱动的、基于Agent的人工股票市场模型,并在MATLAB软件平台上进行数值模拟,模拟结果表明所构建的人工股票市场与真实市场具有相似的统计特征,股票价格有过度波动、泡沫与崩溃、收益的厚尾现象等特征。然后,在这一人工股票市场上进一步引入涨跌幅限制,分别从市场效率、波动性和流动性三个方面探讨了涨跌幅限制制度对股票市场的影响,发现涨跌幅的引入减小了市场的波动性,增加了个股的流动性,但是过分的涨跌幅限制会由于推迟价格达到有效的均衡水平,从而延迟价格发现过程。接着分析了个体行为和卖空约束对涨跌幅限制政策实施效果的影响,发现增加技术面交易者的比例及引入卖空约束都会增大股市的波动性,对涨跌幅限制制度的实施效果起削弱的作用。最后,根据本文得出的结论给出了相应的政策建议。本文所构建的人工股票市场为今后的研究提供了一个良好的实验平台。
[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.
【学位授予单位】：中南大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F831.51;F224

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