基于Agent的投资者结构对股指期货市场流动性影响的研究

发布时间：2018-07-28 14:21

【摘要】：本文运用计算实验金融的相关理论和Agent-based建模方法研究股指期货市场投资者结构对于市场流动性的影响,特别是噪音交易者的比例与市场流动性间的关系。和以往学者对市场流动性的研究方法不同,本文借助股指期货的仿真平台U-Mart,把市场投资者结构作为可控变量,设计了五组具有不同市场投资者结构的实验组,然后分别进行仿真实验。首先,根据U-Mart平台自身的特点,选择噪音交易策略、趋势交易策略、反趋势交易策略、移动平均交易策略和日内交易策略作为市场所有可能的投资策略,并且把运用这些策略的投资者之间的不同比例看成市场投资者结构;接下来按照噪音交易者的比例依次为100%、80%、60%、40%和20%的情况确定实验组各类投资者的数量,开始仿真实验;最后,计算各实验组反映市场流动性的有效流速和成交几率两指标,并分析指标值的变化情况。通过仿真实验,本文得出如下结论:当噪音交易者在股指期货市场中所占的比例越大时,市场的有效流速和成交几率值也越大,说明市场流动性越好,但是这两个流动性指标值的波动率也相应较大,说明市场稳定性较差。本文发现:噪音交易者的比例为60%至80%时,市场的运行情况最为理想。另外,本文也发现,当股指期货市场的投资策略更加丰富时,市场的流动性有所改善。本文的研究结论对于我国推出才一年多的股指期货市场具有一定的参考价值,说明进行投资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.
【学位授予单位】：天津大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.5;F224

【参考文献】