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An Agent-Based Computational Model for China's Stock Market and Stock Index Futures Market

机译:中国股市和股指期货市场的基于代理的计算模型

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摘要

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 future 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.
机译:本研究为中国股票市场结构提出了一种基于代理的计算交叉市场模型,其中包括股票和沪深300指数期货。在此模型中,我们设计了几只股票和一个指数期货来模拟这种结构。该模型允许异类投资者做出包括财富,市场交易机制和风险管理在内的限制的投资决策。投资者的需求和订单提交是由内生决定的。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-期货基础分布,买卖价差分布,波动率聚类和绝对收益的长期记忆。我们的模型可以应用于跨市场风险控制,市场机制设计和套利策略分析。

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  • 来源
    《Mathematical Problems in Engineering》 |2014年第8期|563912.1-563912.10|共10页
  • 作者单位

    College of Management and Economics, Tianjin University, Tianjin 300072, China,China Center for Social Computing and Analytics, Tianjin University, Tianjin 300072, China;

    College of Management and Economics, Tianjin University, Tianjin 300072, China,China Center for Social Computing and Analytics, Tianjin University, Tianjin 300072, China;

    College of Management and Economics, Tianjin University, Tianjin 300072, China,China Center for Social Computing and Analytics, Tianjin University, Tianjin 300072, China;

    School of Business, East China University of Science and Technology, Shanghai 200237, China,Department of Mathematics, East China University of Science and Technology, Shanghai 200237, China,Research Center for Econophysics, East China University of Science and Technology, Shanghai 200237, China;

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