摘要
以中国股票市场的实际交易机制为参数,构造了一个含有集合竞价和连续竞价的人工股票市场,并采用改进的交易者混合策略三因素模型和交易意愿更新模型刻画了有限理性异质交易者的投资行为.通过对不同市场状态下的重复仿真实验的统计和计量分析,探讨不同回转交易制度对市场质量的影响.研究发现,在我国股市现有交易机制和投资者结构下,当日回转交易机制的引入带来的市场流动性的提高是以波动性的增加为代价的;稳定市场中的当日回转交易显著增加了单位波动下的流动性和市场效率,从而改善了市场质量;而增长或衰落市场中充斥着非理性当日回转交易行为,加剧了波动性,降低了定价效率,从而使市场质量恶化.因此,建议应首先着力引导理性投资行为,在理性市场中逐步放开回转交易制度才能有效提高市场质量.
This paper sets up an artificial stock market using the parameters of Chinese stock markets. It includes both call and continuous auction systems,and bounded-rational heterogeneous traders with modified three-factor model of mixed trading strategies and trading desire adjustment model.Through simulations under three market status,the effect of day trading rule on market quality was studied by both statistical and quantitative analysis.The result shows that under current Chinese stock market and traders＇ microstructure,day trading causes liquidity enhancement at the expense of volatility increment; permitting day trading in stable market improves liquidity at unit volatility and market efficiency,which improves market quality significantly;while in growing or recessionary market,plenty of irrational day trading behaviors exacerbate fluctuation and information efficiency,which reduces market quality.Thus, the paper suggests that rational trading behaviors should be induced before re-permitting day trading.
出处
《系统工程理论与实践》
EI
CSSCI
CSCD
北大核心
2011年第8期1409-1418,共10页
Systems Engineering-Theory & Practice
基金
国家自然科学基金(71071010
70871002
70701001)
关键词
计算金融
回转交易
仿真
市场质量
computational finance
day trading
simulation
market quality
