This study investigated the impact of China’s monetary policy on both the money market and stock markets,assuming that non-policy variables would not respond contemporaneously to changes in policy variables.Monetary ...This study investigated the impact of China’s monetary policy on both the money market and stock markets,assuming that non-policy variables would not respond contemporaneously to changes in policy variables.Monetary policy adjustments are swiftly observed in money markets and gradually extend to the stock market.The study examined the effects of monetary policy shocks using three primary instruments:interest rate policy,reserve requirement ratio,and open market operations.Monthly data from 2007 to 2013 were analyzed using vector error correction(VEC)models.The findings suggest a likely presence of long-lasting and stable relationships among monetary policy,the money market,and stock markets.This research holds practical implications for Chinese policymakers,particularly in managing the challenges associated with fluctuation risks linked to high foreign exchange reserves,aiming to achieve autonomy in monetary policy and formulate effective monetary strategies to stimulate economic growth.展开更多
This paper proposes a Markov-switching copula model to examine the presence of regime change in the time-varying dependence structure between oil price changes and stock market returns in six GCC countries. The margin...This paper proposes a Markov-switching copula model to examine the presence of regime change in the time-varying dependence structure between oil price changes and stock market returns in six GCC countries. The marginal distributions are assumed to follow a long-memory model while the copula parameters are supposed to evolve according to the Markov-switching process. Furthermore, we estimate the Value-at-Risk (VaR) based on the proposed approach. The empirical results provide evidence of three regime changes, representing precrisis, financial crisis and post-crisis, in the dependence structure between energy and GCC stock markets. In particular, in the pre- and post-crisis regimes, there is no dependence, while in the crisis regime, there is significant tail dependence. For OPEC countries, we find lower tail dependence whereas in non-OPEC countries, we see upper tail dependence. VaR experiments show that the Markov-switching time- varying copula model performs better than the time-varying copula model.展开更多
This paper mainly through the comparison of GARCH-VaR China stock market board,small board and gem in the United States correspond to the three stock index volatility,volatility between stock indexes obtained U.S.stoc...This paper mainly through the comparison of GARCH-VaR China stock market board,small board and gem in the United States correspond to the three stock index volatility,volatility between stock indexes obtained U.S.stock market volatility risk multi-level market differences.As a suggestion and reference for investors,it can also provide reference for the supervision department of stock market risk.Based on the empirical research,analyzes the advantages and disadvantages of traditional risk measurement methods,and combined with GARCH model with high degree of complexity and the practice effect analysis,trying to find the objective measure stock model analysis.In the specific study of the volatility of the stock market,through the comparison of China’s three major plates and the market classification mechanism of mature U.S.stock market,combined with the objective situation of the market,draw conclusions and change expectations.From the empirical results,the U.S.stock market has recovered after the financial crisis,and its performance on risk volatility is better than China’s three major plates.From the comparison of the stock market in the same country,the small and medium-sized plates tend to have greater risks,while the risks of the main board and the gem have the characteristics of low average value but frequent fluctuations.展开更多
This paper incorporates the Baidu Index into various heterogeneous autoregressive type time series models and shows that the Baidu Index is a superior predictor of realized volatility in the SSE 50 Index.Furthermore,t...This paper incorporates the Baidu Index into various heterogeneous autoregressive type time series models and shows that the Baidu Index is a superior predictor of realized volatility in the SSE 50 Index.Furthermore,the predictability of the Baidu Index is found to rise as the forecasting horizon increases.We also find that continuous components enhance predictive power across all horizons,but that increases are only sustained in the short and medium terms,as the long-term impact on volatility is less persistent.Our findings should be expected to influence investors interested in constructing trading strategies based on realized volatility.展开更多
This study investigates the dynamic connectedness between stock indices and the effect of economic policy uncertainty(EPU)in eight countries where COVID-19 was most widespread(China,Italy,France,Germany,Spain,Russia,t...This study investigates the dynamic connectedness between stock indices and the effect of economic policy uncertainty(EPU)in eight countries where COVID-19 was most widespread(China,Italy,France,Germany,Spain,Russia,the US,and the UK)by implementing the time-varying VAR(TVP-VAR)model for daily data over the period spanning from 01/01/2015 to 05/18/2020.Results showed that stock markets were highly connected during the entire period,but the dynamic spillovers reached unprecedented heights during the COVID-19 pandemic in the first quarter of 2020.Moreover,we found that the European stock markets(except Italy)transmitted more spillovers to all other stock markets than they received,primarily during the COVID-19 outbreak.Further analysis using a nonlinear framework showed that the dynamic connectedness was more pronounced for negative than for positive returns.Also,findings showed that the direction of the EPU effect on net connectedness changed during the pandemic onset,indicating that information spillovers from a given market may signal either good or bad news for other markets,depending on the prevailing economic situation.These results have important implications for individual investors,portfolio managers,policymakers,investment banks,and central banks.展开更多
We use the Autoregressive Integrated Moving Average(ARIMA)model and Facebook Prophet model to predict the closing stock price of Google during the COVID-19 pandemic as well as compare the accuracy of these two models...We use the Autoregressive Integrated Moving Average(ARIMA)model and Facebook Prophet model to predict the closing stock price of Google during the COVID-19 pandemic as well as compare the accuracy of these two models’predictions.We first examine the stationary of the dataset and use ARIMA(0,1,1)to make predictions about the stock price during the pandemic,then we train the Prophet model using the stock price before January 1,2021,and predict the stock price after January 1,2021,to present.We also make a comparison of the prediction graphs of the two models.The empirical results show that the ARIMA model has a better performance in predicting Google’s stock price during the pandemic.展开更多
Two kinds of mathematical expressions of stock price, one of which based on certain description is the solution of the simplest differential equation (S.D.E.) obtained by method similar to that used in solid mechanics...Two kinds of mathematical expressions of stock price, one of which based on certain description is the solution of the simplest differential equation (S.D.E.) obtained by method similar to that used in solid mechanics,the other based on uncertain description (i.e., the statistic theory)is the assumption of Black_Scholes's model (A.B_S.M.) in which the density function of stock price obeys logarithmic normal distribution, can be shown to be completely the same under certain equivalence relation of coefficients. The range of the solution of S.D.E. has been shown to be suited only for normal cases (no profit, or lost profit news, etc.) of stock market, so the same range is suited for A.B_ S.M. as well.展开更多
Artificial stock market simulation based on agent is an important means to study financial market.Based on the assumption that the investors are composed of a main fund,small trend and contrarian investors characteriz...Artificial stock market simulation based on agent is an important means to study financial market.Based on the assumption that the investors are composed of a main fund,small trend and contrarian investors characterized by four parameters,we simulate and research a kind of financial phenomenon with the characteristics of pyramid schemes.Our simulation results and theoretical analysis reveal the relationships between the rate of return of the main fund and the proportion of the trend investors in all small investors,the small investors'parameters of taking profit and stopping loss,the order size of the main fund and the strategies adopted by the main fund.Our work is helpful to explain the financial phenomenon with the characteristics of pyramid schemes in financial markets,design trading rules for regulators and develop trading strategies for investors.展开更多
Stock market plays a pivotal role in firms’expansion and turns economic growth.In the literature,because of the importance of stock markets to the real economy,the smooth and risk-free operation of the stock market h...Stock market plays a pivotal role in firms’expansion and turns economic growth.In the literature,because of the importance of stock markets to the real economy,the smooth and risk-free operation of the stock market has attracted significant attention.The finance literature contains a large number of studies that examine the stock price behaviour with some emphasis on the determinants of the relationship between the equity prices and the financial market activities.The present study reviews the previous works of the effect of financial market variables and stock price.Five selected financial market variables,market capitalization,earnings per share,price earnings multiples,dividend yield,and trading volume are reviewed in this study.In the past literature,there are the opinions of the positive significant relationship between market capitalization and stock price.To find the relationship between dividend yield and stock price,there are two broad schools of thoughts.Both of the relevance and irrelevance theory of Gordon and Modigliani have the strong evidence in the current literature that keeps on the dilemma and provides the scopes for future research.Price-earnings multiples are analyzed in the past literature by using different variables.Based on that,it is evidenced that price-earnings multiples have a negative significant effect on stock price.The reviewed studies state the cointegrating relationship between the stock price and the trading volume as the trading volume is a source of risk.展开更多
Since 2008,the economic volume of the United States has gradually decreased from 30% of world GDP to 20%-25%,and China has risen from 7% to 15%.However,face at a fast-growing economy,China's stock market has been ...Since 2008,the economic volume of the United States has gradually decreased from 30% of world GDP to 20%-25%,and China has risen from 7% to 15%.However,face at a fast-growing economy,China's stock market has been sluggish,contrast strongly to the US's thriving stock market.This paper studies the correlation between stock market and macroeconomy,based on the perspective of stock market and macroeconomy between China and the United States.This article takes China and the United States from 1999 to early 2017 as the time frame.Choosing the Shanghai Stock Exchange securities market,the S&P 500 index and the macroeconomy indicators and policies of China and the United States as research objects,using a comparative method to study the interactive relationship between the two major economies.In addition,this paper analyzes the parts of macroeconomy and microlisted companies in economic and financial theory,and innovatively applies the four different aspects of macroeconomy of total seven indicators to more fully represent the macroeconomy.This paper establishes the VAR model,impulsive response,and variance decomposition to explore the interaction between trends of the stock market and macroeconomic trends.The research results show that the stock market trend is positively related to the macroeconomic trend.China's stock market is greatly affected by capital,and the reason why the US stock market can develop better under the condition that the macroeconomic development is not as good as China's,because of the unique status of the US dollar.Finally,this paper combines descriptive analysis and empirical analysis results to propose policy recommendations for China's stock market and macroeconomic development.展开更多
Our analysis used the monthly data of the average sales price of commodity houses and stock turnover in the Shenzhen Stock Exchange from January 2016 to December 2020. We selected this data to establish a Vector Autor...Our analysis used the monthly data of the average sales price of commodity houses and stock turnover in the Shenzhen Stock Exchange from January 2016 to December 2020. We selected this data to establish a Vector Autoregression(VAR) model using the Granger causality test to investigate the correlation between the stock market and the real estate market. We found that there is a significant positive correlation between the stock market and the real estate market. We also found that the real estate market price is the one-way Granger cause for the stock market turnover, and that changes in the real estate market price have a significant role in forecasting changes in stock market turnover. Therefore, the linkage between the two markets should be considered in macro regulations, and the impact on one of the markets should be considered when regulating the other.展开更多
The financial market is the core of national economic development,and stocks play an important role in the financial market.Analyzing stock prices has become the focus of investors,analysts,and people in related field...The financial market is the core of national economic development,and stocks play an important role in the financial market.Analyzing stock prices has become the focus of investors,analysts,and people in related fields.This paper evaluates the volatility of Apple Inc.(AAPL)returns using five generalized autoregressive conditional heteroskedasticity(GARCH)models:sGARCH with constant mean,GARCH with sstd,GJR-GARCH,AR(1)GJR-GARCH,and GJR-GARCH in mean.The distribution of AAPL’s closing price and earnings data was analyzed,and skewed student t-distribution(sstd)and normal distribution(norm)were used to further compare the data distribution of the five models and capture the shape,skewness,and loglikelihood in Model 4-AR(1)GJR-GARCH.Through further analysis,the results showed that Model 4,AR(1)GJR-GARCH,is the optimal model to describe the volatility of the return series of AAPL.The analysis of the research process is both,a process of exploration and reflection.By analyzing the stock price of AAPL,we reflect on the shortcomings of previous analysis methods,clarify the purpose of the experiment,and identify the optimal analysis model.展开更多
In this paper,we tested our methodology on the stocks of four representative companies:Apple,Comcast Corporation(CMCST),Google,and Qualcomm.We compared their performance to several stocks using the hidden Markov model...In this paper,we tested our methodology on the stocks of four representative companies:Apple,Comcast Corporation(CMCST),Google,and Qualcomm.We compared their performance to several stocks using the hidden Markov model(HMM)and forecasts using mean absolute percentage error(MAPE).For simplicity,we considered four main features in these stocks:open,close,high,and low prices.When using the HMM for forecasting,the HMM has the best prediction for the daily low stock price and daily high stock price of Apple and CMCST,respectively.By calculating the MAPE for the four data sets of Google,the close price has the largest prediction error,while the open price has the smallest prediction error.The HMM has the largest prediction error and the smallest prediction error for Qualcomm’s daily low stock price and daily high stock price,respectively.展开更多
Electricity markets need to continuously evolve to address the growing complexity of a predominantly renewable energy-driven,highly interconnected,and sector-integrated energy system.Simulation models allow testing ma...Electricity markets need to continuously evolve to address the growing complexity of a predominantly renewable energy-driven,highly interconnected,and sector-integrated energy system.Simulation models allow testing market designs before implementation,which offers advantages for market robustness and efficiency.This work presents a novel approach to simulate the electricity market by using multi-agent deep reinforcement learning for representing revenue-maximizing market participants.The learning capability makes the agents highly adaptive,thereby facilitating a rigorous performance evaluation of market mechanisms under challenging yet practical conditions.Through distinct test cases that vary the number and size of learning agents in an energy-only market,we demonstrate the ability of the proposed method to diagnose market manipulation and reflect market liquidity.Our method is highly scalable,as demonstrated by a case study of the German wholesale energy market with 145 learning agents.This makes the model well-suited for analyzing large and complex electricity markets.The capability of the presented simulation approach facilitates market design analysis,thereby contributing to the establishment future-proof electricity markets to support the energy transition.展开更多
This study utilizes the Dynamic Conditional Correlation-Generalized Autoregressive Conditional Heteroskedasticity (DCC-GARCH) model to investigate the dynamic relationship between Chinese and U.S. stock markets amid t...This study utilizes the Dynamic Conditional Correlation-Generalized Autoregressive Conditional Heteroskedasticity (DCC-GARCH) model to investigate the dynamic relationship between Chinese and U.S. stock markets amid the COVID-19 pandemic. Initially, a univariate GARCH model is developed to derive residual sequences, which are then used to estimate the DCC model parameters. The research reveals a significant rise in the interconnection between the Chinese and U.S. stock markets during the pandemic. The S&P 500 index displayed higher sensitivity and greater volatility in response to the pandemic, whereas the CSI 300 index showed superior resilience and stability. Analysis and model estimation suggest that the market’s dependence on historical data has intensified and its sensitivity to recent shocks has heightened. Predictions from the model indicate increased market volatility during the pandemic. While the model is proficient in capturing market trends, there remains potential for enhancing the accuracy of specific volatility predictions. The study proposes recommendations for policymakers and investors, highlighting the importance of improved cooperation in international financial market regulation and investor education.展开更多
文摘This study investigated the impact of China’s monetary policy on both the money market and stock markets,assuming that non-policy variables would not respond contemporaneously to changes in policy variables.Monetary policy adjustments are swiftly observed in money markets and gradually extend to the stock market.The study examined the effects of monetary policy shocks using three primary instruments:interest rate policy,reserve requirement ratio,and open market operations.Monthly data from 2007 to 2013 were analyzed using vector error correction(VEC)models.The findings suggest a likely presence of long-lasting and stable relationships among monetary policy,the money market,and stock markets.This research holds practical implications for Chinese policymakers,particularly in managing the challenges associated with fluctuation risks linked to high foreign exchange reserves,aiming to achieve autonomy in monetary policy and formulate effective monetary strategies to stimulate economic growth.
文摘This paper proposes a Markov-switching copula model to examine the presence of regime change in the time-varying dependence structure between oil price changes and stock market returns in six GCC countries. The marginal distributions are assumed to follow a long-memory model while the copula parameters are supposed to evolve according to the Markov-switching process. Furthermore, we estimate the Value-at-Risk (VaR) based on the proposed approach. The empirical results provide evidence of three regime changes, representing precrisis, financial crisis and post-crisis, in the dependence structure between energy and GCC stock markets. In particular, in the pre- and post-crisis regimes, there is no dependence, while in the crisis regime, there is significant tail dependence. For OPEC countries, we find lower tail dependence whereas in non-OPEC countries, we see upper tail dependence. VaR experiments show that the Markov-switching time- varying copula model performs better than the time-varying copula model.
文摘This paper mainly through the comparison of GARCH-VaR China stock market board,small board and gem in the United States correspond to the three stock index volatility,volatility between stock indexes obtained U.S.stock market volatility risk multi-level market differences.As a suggestion and reference for investors,it can also provide reference for the supervision department of stock market risk.Based on the empirical research,analyzes the advantages and disadvantages of traditional risk measurement methods,and combined with GARCH model with high degree of complexity and the practice effect analysis,trying to find the objective measure stock model analysis.In the specific study of the volatility of the stock market,through the comparison of China’s three major plates and the market classification mechanism of mature U.S.stock market,combined with the objective situation of the market,draw conclusions and change expectations.From the empirical results,the U.S.stock market has recovered after the financial crisis,and its performance on risk volatility is better than China’s three major plates.From the comparison of the stock market in the same country,the small and medium-sized plates tend to have greater risks,while the risks of the main board and the gem have the characteristics of low average value but frequent fluctuations.
基金This work is supported by the National Natural Science Foundation of China(71790594,71701150,and U1811462).
文摘This paper incorporates the Baidu Index into various heterogeneous autoregressive type time series models and shows that the Baidu Index is a superior predictor of realized volatility in the SSE 50 Index.Furthermore,the predictability of the Baidu Index is found to rise as the forecasting horizon increases.We also find that continuous components enhance predictive power across all horizons,but that increases are only sustained in the short and medium terms,as the long-term impact on volatility is less persistent.Our findings should be expected to influence investors interested in constructing trading strategies based on realized volatility.
文摘This study investigates the dynamic connectedness between stock indices and the effect of economic policy uncertainty(EPU)in eight countries where COVID-19 was most widespread(China,Italy,France,Germany,Spain,Russia,the US,and the UK)by implementing the time-varying VAR(TVP-VAR)model for daily data over the period spanning from 01/01/2015 to 05/18/2020.Results showed that stock markets were highly connected during the entire period,but the dynamic spillovers reached unprecedented heights during the COVID-19 pandemic in the first quarter of 2020.Moreover,we found that the European stock markets(except Italy)transmitted more spillovers to all other stock markets than they received,primarily during the COVID-19 outbreak.Further analysis using a nonlinear framework showed that the dynamic connectedness was more pronounced for negative than for positive returns.Also,findings showed that the direction of the EPU effect on net connectedness changed during the pandemic onset,indicating that information spillovers from a given market may signal either good or bad news for other markets,depending on the prevailing economic situation.These results have important implications for individual investors,portfolio managers,policymakers,investment banks,and central banks.
文摘We use the Autoregressive Integrated Moving Average(ARIMA)model and Facebook Prophet model to predict the closing stock price of Google during the COVID-19 pandemic as well as compare the accuracy of these two models’predictions.We first examine the stationary of the dataset and use ARIMA(0,1,1)to make predictions about the stock price during the pandemic,then we train the Prophet model using the stock price before January 1,2021,and predict the stock price after January 1,2021,to present.We also make a comparison of the prediction graphs of the two models.The empirical results show that the ARIMA model has a better performance in predicting Google’s stock price during the pandemic.
文摘Two kinds of mathematical expressions of stock price, one of which based on certain description is the solution of the simplest differential equation (S.D.E.) obtained by method similar to that used in solid mechanics,the other based on uncertain description (i.e., the statistic theory)is the assumption of Black_Scholes's model (A.B_S.M.) in which the density function of stock price obeys logarithmic normal distribution, can be shown to be completely the same under certain equivalence relation of coefficients. The range of the solution of S.D.E. has been shown to be suited only for normal cases (no profit, or lost profit news, etc.) of stock market, so the same range is suited for A.B_ S.M. as well.
基金Project supported by the National Natural Science Foundation of China(Grant Nos.71932008 and 91546201).
文摘Artificial stock market simulation based on agent is an important means to study financial market.Based on the assumption that the investors are composed of a main fund,small trend and contrarian investors characterized by four parameters,we simulate and research a kind of financial phenomenon with the characteristics of pyramid schemes.Our simulation results and theoretical analysis reveal the relationships between the rate of return of the main fund and the proportion of the trend investors in all small investors,the small investors'parameters of taking profit and stopping loss,the order size of the main fund and the strategies adopted by the main fund.Our work is helpful to explain the financial phenomenon with the characteristics of pyramid schemes in financial markets,design trading rules for regulators and develop trading strategies for investors.
文摘Stock market plays a pivotal role in firms’expansion and turns economic growth.In the literature,because of the importance of stock markets to the real economy,the smooth and risk-free operation of the stock market has attracted significant attention.The finance literature contains a large number of studies that examine the stock price behaviour with some emphasis on the determinants of the relationship between the equity prices and the financial market activities.The present study reviews the previous works of the effect of financial market variables and stock price.Five selected financial market variables,market capitalization,earnings per share,price earnings multiples,dividend yield,and trading volume are reviewed in this study.In the past literature,there are the opinions of the positive significant relationship between market capitalization and stock price.To find the relationship between dividend yield and stock price,there are two broad schools of thoughts.Both of the relevance and irrelevance theory of Gordon and Modigliani have the strong evidence in the current literature that keeps on the dilemma and provides the scopes for future research.Price-earnings multiples are analyzed in the past literature by using different variables.Based on that,it is evidenced that price-earnings multiples have a negative significant effect on stock price.The reviewed studies state the cointegrating relationship between the stock price and the trading volume as the trading volume is a source of risk.
文摘Since 2008,the economic volume of the United States has gradually decreased from 30% of world GDP to 20%-25%,and China has risen from 7% to 15%.However,face at a fast-growing economy,China's stock market has been sluggish,contrast strongly to the US's thriving stock market.This paper studies the correlation between stock market and macroeconomy,based on the perspective of stock market and macroeconomy between China and the United States.This article takes China and the United States from 1999 to early 2017 as the time frame.Choosing the Shanghai Stock Exchange securities market,the S&P 500 index and the macroeconomy indicators and policies of China and the United States as research objects,using a comparative method to study the interactive relationship between the two major economies.In addition,this paper analyzes the parts of macroeconomy and microlisted companies in economic and financial theory,and innovatively applies the four different aspects of macroeconomy of total seven indicators to more fully represent the macroeconomy.This paper establishes the VAR model,impulsive response,and variance decomposition to explore the interaction between trends of the stock market and macroeconomic trends.The research results show that the stock market trend is positively related to the macroeconomic trend.China's stock market is greatly affected by capital,and the reason why the US stock market can develop better under the condition that the macroeconomic development is not as good as China's,because of the unique status of the US dollar.Finally,this paper combines descriptive analysis and empirical analysis results to propose policy recommendations for China's stock market and macroeconomic development.
文摘Our analysis used the monthly data of the average sales price of commodity houses and stock turnover in the Shenzhen Stock Exchange from January 2016 to December 2020. We selected this data to establish a Vector Autoregression(VAR) model using the Granger causality test to investigate the correlation between the stock market and the real estate market. We found that there is a significant positive correlation between the stock market and the real estate market. We also found that the real estate market price is the one-way Granger cause for the stock market turnover, and that changes in the real estate market price have a significant role in forecasting changes in stock market turnover. Therefore, the linkage between the two markets should be considered in macro regulations, and the impact on one of the markets should be considered when regulating the other.
文摘The financial market is the core of national economic development,and stocks play an important role in the financial market.Analyzing stock prices has become the focus of investors,analysts,and people in related fields.This paper evaluates the volatility of Apple Inc.(AAPL)returns using five generalized autoregressive conditional heteroskedasticity(GARCH)models:sGARCH with constant mean,GARCH with sstd,GJR-GARCH,AR(1)GJR-GARCH,and GJR-GARCH in mean.The distribution of AAPL’s closing price and earnings data was analyzed,and skewed student t-distribution(sstd)and normal distribution(norm)were used to further compare the data distribution of the five models and capture the shape,skewness,and loglikelihood in Model 4-AR(1)GJR-GARCH.Through further analysis,the results showed that Model 4,AR(1)GJR-GARCH,is the optimal model to describe the volatility of the return series of AAPL.The analysis of the research process is both,a process of exploration and reflection.By analyzing the stock price of AAPL,we reflect on the shortcomings of previous analysis methods,clarify the purpose of the experiment,and identify the optimal analysis model.
文摘In this paper,we tested our methodology on the stocks of four representative companies:Apple,Comcast Corporation(CMCST),Google,and Qualcomm.We compared their performance to several stocks using the hidden Markov model(HMM)and forecasts using mean absolute percentage error(MAPE).For simplicity,we considered four main features in these stocks:open,close,high,and low prices.When using the HMM for forecasting,the HMM has the best prediction for the daily low stock price and daily high stock price of Apple and CMCST,respectively.By calculating the MAPE for the four data sets of Google,the close price has the largest prediction error,while the open price has the smallest prediction error.The HMM has the largest prediction error and the smallest prediction error for Qualcomm’s daily low stock price and daily high stock price,respectively.
文摘Electricity markets need to continuously evolve to address the growing complexity of a predominantly renewable energy-driven,highly interconnected,and sector-integrated energy system.Simulation models allow testing market designs before implementation,which offers advantages for market robustness and efficiency.This work presents a novel approach to simulate the electricity market by using multi-agent deep reinforcement learning for representing revenue-maximizing market participants.The learning capability makes the agents highly adaptive,thereby facilitating a rigorous performance evaluation of market mechanisms under challenging yet practical conditions.Through distinct test cases that vary the number and size of learning agents in an energy-only market,we demonstrate the ability of the proposed method to diagnose market manipulation and reflect market liquidity.Our method is highly scalable,as demonstrated by a case study of the German wholesale energy market with 145 learning agents.This makes the model well-suited for analyzing large and complex electricity markets.The capability of the presented simulation approach facilitates market design analysis,thereby contributing to the establishment future-proof electricity markets to support the energy transition.
文摘This study utilizes the Dynamic Conditional Correlation-Generalized Autoregressive Conditional Heteroskedasticity (DCC-GARCH) model to investigate the dynamic relationship between Chinese and U.S. stock markets amid the COVID-19 pandemic. Initially, a univariate GARCH model is developed to derive residual sequences, which are then used to estimate the DCC model parameters. The research reveals a significant rise in the interconnection between the Chinese and U.S. stock markets during the pandemic. The S&P 500 index displayed higher sensitivity and greater volatility in response to the pandemic, whereas the CSI 300 index showed superior resilience and stability. Analysis and model estimation suggest that the market’s dependence on historical data has intensified and its sensitivity to recent shocks has heightened. Predictions from the model indicate increased market volatility during the pandemic. While the model is proficient in capturing market trends, there remains potential for enhancing the accuracy of specific volatility predictions. The study proposes recommendations for policymakers and investors, highlighting the importance of improved cooperation in international financial market regulation and investor education.