基于人工股票市场的最小交易单位机制仿真

Simulation of Minimum Trade Unit Mechanism Based on Artificial Stock Market

在Eclipse平台上构建了一个模拟中国沪深股市的人工股票市场,采用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。通过对不同价值股票在不同最小交易单位机制下的重复仿真实验,从价格数据、市场指令流、交易者福利、市场质量等几个方面对比分析了最小交易单位设置的合理性。结果表明,在我国股市现有交易机制和投资者结构下,降低最小交易单位能够增强小额投资者的参与热情和预测精度,提高股票价值和市场质量,这一点对于高价股尤其明显。因此,文章建议适当降低最小交易单位,并提出"1股的统一最小单位制"和"优先降低高价股最小交易单位的分级最小单位制"两种机制调整方案以供参考。

This paper establishes an artificial stock market using the parameters of China＇s stock markets. It describes bounded-rational heterogeneous traders with three-factor model of mixed trading strategies and trading desire adjustment model. Through simulations of different stock values and Minimum Trade Units, the rationality test of Minimum Trade Unit mechanism on price, order flow, traders＇ welfare and market quality is studied by statistical analysis. The result shows that under current China＇s stock market and traders＇ microstructure, the decrease of Minimum Trade Unit help to inspire the passion of small investors and increase their forecasting precision, and enhance stock＇s value and market quality, especially for high-priced stocks. Thus, the paper suggests that Minimum Trade Unit should be reduced, and two Minimum Trade Unit adjustment schemes are proposed that one-share mechanism and high-priced-stock-decreased-prior hierarchy mechanism should be uniformed.