现货市场异常波动下股指期货交易限制对市场质量的影响分析

发布时间：2018-05-07 01:09

本文选题：计算机仿真 + 异常波动　；参考：《系统工程理论与实践》2017年10期

【摘要】：通过计算机仿真构建了基于投资者策略的跨市场金融平台,提出了异常波动下交易限制措施对市场质量的评价体系.从股指期货交易限制的角度,研究在现货市场异常波动期间管制措施对期货和现货市场质量的影响,并比较在不同的市场结构下管制措施的有效性.研究发现,对于股指期货的交易限制措施在短期内有效,但中长期内无法发挥股指期货基本功能.另外,交易限制的短期效果在一个新进杠杆资金较少的市场上是最好的,而在中长期市场中适当增加的投机和套利活动能抵消交易限制措施的效果,为市场提供流动性,使市场更快恢复到原来的状态.因此,异常波动下的股指期货交易限制应该是临时性的,在市场企稳后应该及时逐步恢复原有的制度结构.
[Abstract]:A cross-market financial platform based on investor strategy is constructed by computer simulation, and the evaluation system of market quality under abnormal volatility is put forward. From the point of view of the trading restriction of stock index futures, this paper studies the influence of control measures on the quality of futures and spot markets during abnormal fluctuations in the spot market, and compares the effectiveness of the control measures under different market structures. It is found that the trading restriction measures for stock index futures are effective in the short term, but the basic function of stock index futures can not be brought into play in the medium and long term. In addition, the short-term effects of trading restrictions are best in a market with less newly leveraged capital, while moderate increases in speculation and arbitrage in the medium and long term markets can offset the effects of trading restrictions and provide liquidity for the market. Bring the market back to its original state faster. Therefore, the trading restriction of stock index futures under abnormal fluctuation should be temporary, and the original system structure should be restored in time after the market stabilizes.
【作者单位】：上海交通大学安泰经济与管理学院;
【基金】：国家自然科学基金(71271136)~~
【分类号】：F724.5

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