基于计算实验金融的证券市场交易机制设计

发布时间：2018-06-06 01:31

本文选题：实验金融 + 交易机制　；参考：《广东工业大学》2012年硕士论文

【摘要】：传统的资产定价理论将交易机制视为外生变量,在价格形成过程中无关紧要,而随着金融市场微观结构理论的兴起,人们注意到实际的证券市场并非传统的资本资产定价模型和套利定价模型所持有的有效市场假设,越来越多的研究表明由于投资者有限理性或非理性行为、信息不对称、交易成本等因素的存在,证券市场交易制度作为影响价格形成过程的内生变量,会对市场流动性、价格波动性和市场效率等市场质量产生影响。收盘价机制作为证券市场交易制度的组成部分之一,必然的也会对股市产生重要影响。由于现行的收盘价数据收集方便、并且被假定为能够代表股价在一个交易日结束时的价格,因为该价格为金融理论与实务界广泛应用。证券市场上的开盘集合竞价订单一般以昨日的收盘价格为基准,然而当前收盘价格机制存在易被人为操纵、并且未能反映交易日内全体投资者的预期等缺陷。长期看来,这必将导致股价偏离股票基本面以及全体投资者的预期。一种合适的交易机制应能够有效地反映出证券资产的价值,稳定和促进市场的发展。然而,不同金融资产有其特有的属性和价值行为,如何为这些金融产品选择和设计一个合适的交易机制,则是证券市场监管者必须面对的重要问题。本研究以此为出发点,应用计算实验金融研究方法,利用其自底向上的建模优势,通过构建投资者行为模型和交易机制模型创建仿真金融市场,借助可控的金融实验,创新设计交易机制。本研究首次提出众望价概念,并基于交易日众望价,设计影响股票价格的交易机制,以一种新的集合竞价输出价格代替证券市场原有的股票收盘价格机制,在计算实验金融平台上,比较分析新收盘价机制对股票价格行为以及市场质量的影响。通过理论分析与MATLAB仿真实验,得出以下主要研究结论有：1)在当前证券市场交易机制下,叠加众望价影响机制,长期看来,将使得股票价格更接近全体投资者对于资产基本面价值的预期；2)众望价影响机制的融入,有利于降低股市的系统风险以及市场操作风险；3)新机制下收益率的一些统计异象(如超峰、肥尾、波动聚集性等),不如真实股票数据那么明显。本研究建议：改革当前我国证券市场以“昨日收盘价为基准,约束今日开盘集合竞价订单价格”的机制,而以“昨日的众望价”进行替代。本文通过对证券市场交易机制惊醒研究,研究结论能够为当前证券监管部门优化当前证券市场交易机制提供相关的模型和理论参考。同时,也有利于引导现实投资者做出更为理性的投资决策。
[Abstract]:The traditional asset pricing theory regards the transaction mechanism as an exogenous variable, which does not matter in the process of price formation. However, with the rise of the financial market microstructure theory, It is noted that actual securities markets are not efficient market assumptions held by traditional capital asset pricing models and arbitrage pricing models. More and more studies show that information is asymmetric due to limited or irrational behavior of investors. As an endogenous variable affecting the process of price formation, the securities market trading system will have an impact on the market quality, such as market liquidity, price volatility and market efficiency. As one of the components of the stock market trading system, the closing price mechanism will inevitably have an important impact on the stock market. Because the current closing price data is easy to collect and is assumed to represent the price of the stock price at the end of a trading day, the price is widely used in financial theory and practice. The open aggregate bidding orders in the stock market are usually based on the closing price of yesterday. However, the current closing price mechanism is easy to manipulate and fails to reflect the expectations of all investors in the trading day. In the long run, this is bound to cause stock prices to deviate from stock fundamentals and expectations for all investors. An appropriate trading mechanism can effectively reflect the value of securities assets, stabilize and promote the development of the market. However, different financial assets have their unique attributes and value behaviors. How to choose and design a suitable trading mechanism for these financial products is an important problem that the securities market regulators must face. This study takes this as the starting point, applies the computational experimental finance research method, utilizes its bottom-up modeling advantage, creates the simulation financial market by constructing the investor behavior model and the trading mechanism model, and makes use of the controllable financial experiment. Innovative design of trading mechanism. In this study, the concept of popular expectation price is first put forward, and based on the expected price of the trading day, the trading mechanism that affects the stock price is designed to replace the original stock closing price mechanism with a new collective bidding price output price. In this paper, the influence of new closing price mechanism on stock price behavior and market quality is compared and analyzed on the platform of calculating experimental finance. Through theoretical analysis and MATLAB simulation experiment, the following main conclusions are drawn: 1) under the current stock market trading mechanism, the mechanism of superimposing the influence of public expectation price, in the long run, It will bring stock prices closer to the expectations of all investors about the fundamental value of assets. Some statistical anomalies (such as excess peak, fat tail, volatility aggregation, etc.) under the new mechanism are not as obvious as the real stock data. This paper proposes to reform the mechanism of "yesterday's closing price as the benchmark, to restrain the opening price of today's collective bidding order" and to replace it with "yesterday's expected price" in China's securities market. By studying the trading mechanism of securities market, the conclusion can provide relevant model and theoretical reference for securities supervision department to optimize the trading mechanism of current securities market. At the same time, it also helps to guide real investors to make more rational investment decisions.
【学位授予单位】：广东工业大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F830.91;F224

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