操纵性投机行为对金融市场质量的影响:基于计算机仿真平台的研究

Manipulation and Quality of the Financial Market:A Study based on Computer Simulation Platform

金融创新的本意在于更好地配置资源和管理风险,但是市场中部分个体的过度投机行为和市场操纵行为,却将金融创新引向人们预期的反面。提出从金融市场基本功能是否正常发挥判断金融市场质量的思路。以股指期货为例,采用套利和套期保值者的保证金压力等指标度量期货市场质量。利用计算机建模和仿真方法,构建动态的多市场金融交易仿真模型,描述股指期货不同交易者行为及其相互作用,着重分析操纵性投机行为对市场其他交易者(特别是套期保值者)的交易结果,最终对市场质量产生的影响,并提出相关监管建议。

Any of financial innovation is expected to allocate resources and manage risks more efficiently.However,manipulations always lead the financial innovation to the opposite of the expectation.We propose a new method for assessing the quality of financial markets in terms of the performance of financial markets＇ basic functions.Specifically,we use the margin pressure of arbitragers and hedgers to assess the performance of futures markets＇ functions as hedging and price discovery.A dynamic cross-market computer simulation platform is developed and used to analyze the behaviors of and interactions among different types of traders in futures markets,especially the impact of manipulations on outcomes of hedging and arbitraging,and the quality of financial markets.Policy suggestions are discussed based on the simulation analysis.