An agent-based computational model for China's stock market and stock index futures market
An agent-based computational model for China's stock market and stock index futures market
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DOI：
10.1155/2014/563912
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发表时间：
2014-03
影响因子：
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通讯作者：
Hai-Chuan Xu;Wei Zhang;Xiong Xiong-Xiong;Wei‐Xing Zhou
中科院分区：
文献类型：
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作者：
Hai-Chuan Xu;Wei Zhang;Xiong Xiong-Xiong;Wei‐Xing Zhou
本文提出了一个基于智能体的计算跨市场模型，该模型包含股票和沪深300指数期货。在这个模型中，我们设计了几只股票和一个指数期货来模拟这种结构。该模型允许异质投资者在财富、市场交易机制和风险管理等约束条件下进行投资决策。投资者的需求和订单提交是内生决定的。我们的模型成功地再现了中国金融市场的几个关键特征，包括现货期货基差分布，买卖价差分布，波动聚集和绝对收益的长记忆性。该模型可用于跨市场风险控制、市场机制设计和套利策略分析。
This study presents an agent-based computational cross-market model for Chinese equity market structure, which includes both stocks and CSI 300 index futures. In this model, we design several stocks and one index futures to simulate this structure. This model allows heterogeneous investors to make investment decisions with restrictions including wealth, market trading mechanism, and risk management. Investors' demands and order submissions are endogenously determined. Our model successfully reproduces several key features of the Chinese financial markets including spot-futures basis distribution, bid-ask spread distribution, volatility clustering and long memory in absolute returns. Our model can be applied in cross-market risk control, market mechanism design and arbitrage strategies analysis.