基于限价指令驱动市场模型的计算实验研究

发布时间：2018-11-21 13:49

【摘要】：本文通过建立由异质投资者构成的限价指令驱动市场模型,运用计算实验金融的方法对微观金融市场进行了研究。在对市场的价格发现机制的研究中发现,在市场上仅有基本面分析投资者或仅有趋势投资者的情况下,价格难以回归到其基本面价值,而在以基本面分析投资者为主的市场上加入技术分析因素的影响后,市场价格反而能更接近基本面价值。通过分析计算实验模拟得到的市场价格数据,发现模拟的价格数据可以呈现出与现实市场类似的典型化现象,而且这些典型事实的发生与趋势投资者的存在有关系。进一步地,我们对市场上最流行的两种投资分析方法,基本面分析和技术分析的表现在计算实验中进行了对比,结果发现基本面分析明显占优,坚持价值投资可获得良好的收益。最后,我们对涨跌停板制度对市场流动性,波动性和过度反应的影响进行了研究,发现涨跌停板制度对抑制市场的过度反应现象有正面影响,而且对市场价格的波动性也有明显的影响,但放宽涨跌幅限制对市场交易活跃性的提高也有一定的作用。通过对这些问题的研究,结果都在不同程度上说明了倡导价值投资对市场健康发展的重要性和促进作用。
[Abstract]:In this paper, a pricing order driven market model composed of heterogeneous investors is established, and the method of computational experimental finance is used to study the micro financial market. In the study of the price discovery mechanism of the market, it is found that when there are only fundamental investors or trend investors in the market, it is difficult for the price to return to its fundamental value. But after adding the influence of technical analysis factors to the market which is based on the fundamental analysis investors, the market price can be more close to the fundamental value. By analyzing and calculating the market price data obtained from the experimental simulation, it is found that the simulated price data can present a typical phenomenon similar to the real market, and the occurrence of these typical facts is related to the existence of trend investors. Furthermore, we compare the performance of the two most popular investment analysis methods in the market, fundamental analysis and technical analysis in the calculation experiment, and find that the fundamental analysis is obviously superior. Holding on to value investments can yield good returns. Finally, we study the effects of the price limit system on the market liquidity, volatility and overreaction, and find that the price limit system has a positive effect on restraining the over-reaction of the market. And it also has obvious influence on the volatility of market price, but relaxing the limit of fluctuation also has certain effect on the improvement of market trading activity. Through the study of these problems, the results show the importance and promotion of advocating value investment to the healthy development of the market to varying degrees.
【学位授予单位】：南京大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F830.9;F224

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