基于计算实验金融的个股期权市场交易制度研究

发布时间：2018-01-16 00:22

本文关键词：基于计算实验金融的个股期权市场交易制度研究　出处：《天津大学》2014年硕士论文　论文类型：学位论文

【摘要】：近年来,我国金融市场改革逐步深化,市场化水平不断提高,并且陆续推出了不同金融衍生产品,但仍旧无法满足我国衍生品市场的发展和投资者们的需要。期权,作为国际衍生品市场上交易最为活跃的衍生工具之一,为投资者进行风险管理与资产配置提供了更多有效途径和工具,在健全资本市场运行机制方面也发挥了非常重要的作用。个股期权的推出对于我国金融市场的不断完善具有重要意义,因此,本文使用计算实验金融的方法,对于我国个股期权市场交易制度以及做市商交易机制的引入进行了研究。本文的研究能够为我国推出个股期权提供支持和参考。在本文研究过程中,首先对于计算实验金融理论、做市商交易机制和核心定价理论进行了系统性梳理,为本文的研究提供了非常重要的理论依据;通过分析研究国际主要个股期权市场的成功实践经验并加以引用和借鉴,为本文的研究提供了现实支撑。本文突破以往对于做市商交易机制进行定性研究的局面,使用计算实验的方法,构建了一个基于做市商交易机制的人工个股期权市场,通过构建做市商最优报价确定模型和投资者投资决策模型,对做市商和投资者行为分别进行了具体设计,最终建立起仿真模型并进行仿真实验;在此基础上,本文又进一步对纯粹的做市商交易机制进行了改进和拓展,将连续双向拍卖交易机制引入到模型中,形成混合交易制度,在该制度下投资者可以自由选择交易方式,即选择“即时成交”与做市商进行交易或者提交“限价订单”与其他投资者进行交易,从而构建了一个全新的基于混合交易制度的人工个股期权市场仿真模型,并从设置不同参数组合与不同即时成交比例两个角度出发分别进行了两组仿真实验。通过运行仿真实验并对实验结果进行分析研究,可以发现,设置不同的模型参数会对个股期权的价格变化和成交情况产生不同影响;在个股期权市场中引入做市商交易机制能够在稳定市场价格以及为市场提供流动性等方面发挥重要作用。通过对比分析所构建的两个仿真模型的实验结果,可以发现混合交易机制能够使个股期权市场更加有效,而选择混合交易制度也将有助于我国个股期权市场的健康发展。
[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.
【学位授予单位】：天津大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F724.5

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