应用微模拟方法分析交易费用对股票市场影响的研究

Microscopic Simulation in the Study of the Transaction Sost Effect on Stock Market

基于对中国股票市场的连续竞价交易机制和投资者构成特征的分析,本文构建了一个人工模拟订单驱动股票市场模型。模型能够得出一系列与实际股票市场一致的典型事实,如收益率分布的胖尾特征以及波动率的聚集等。通过在模拟实验中设定不同的交易费用约束,分析了不同程度的交易费用约束对股票市场的影响。结果表明,交易费用的增加会导致股票换手率的大幅下降;由于流动性不足,提高交易费用水平并不一定能够达到降低市场波动的目的。

Based on the specification of the trading mechanism of China stock market and the characteristics of the investors, we introduce a microscopic simulation model of consecutive order driven stock market. The artificial stock market can reproduce a lot of stylized facts of the real market, such as fat tails of the return and volatility clustering. Furthermore, we set different constraint of transaction cost in the model, and the result shows that the volatility of the return does not decrease when the transaction cost increases, but the turnover of the stock drops significantly due to the lack of market liquidity.