融资融券影响的元胞自动机股票市场模拟研究

Simulation of Stock Market Influenced by Securities and Margin Financing Based on Cellular Automata

为研究融资融券推出对股票市场带来的影响以及如何减少融券卖空对市场的冲击,建立基于元胞自动机的股票市场模型,对融资融券推出前后的股票交易量和价格波动进行计算机仿真。仿真结果表明,融资融券的推出既可能增加股票市场的交易量,有利于市场内在价格稳定机制形成,也可能对价格助涨助跌,增大市场的波动。本文还针对融券卖空的潜在风险提出规避建议,这对相关金融部门保障市场稳定运行具有一定借鉴意义。

In order to study the influences of margin financing,as well as how to relieve the impact of short selling system,modeling theory and method using cellular automata are applied to establish a single stock automata model. In this paper,simulations of trading volume and price fluctuation before and after the introduction of margin financing business are carried out. Simulation results show that the release of new margin financing can increase trading volume and stabalize trading price more easily,and it may help to increase the fluctuation of the trading price. The advices about relieving the impact of short selling system are helpful to financial supervision departments in maintaining market stability.