| 股票市场涨跌停板设置的微模拟研究 |
| |
| 引用本文： | 宋逢明,李超.股票市场涨跌停板设置的微模拟研究[J].运筹与管理,2007,16(1):100-106. |
| |
| 作者姓名： | 宋逢明 李超 |
| |
| 作者单位： | 清华大学,经济管理学院,北京,100084 |
| |
| 摘 要： | 本文构建了一个基于订单驱动的人工模拟股票市场模型,并对投资者在连续竞价交易时的投资行为进行了刻画,数值模拟所得的股票对数收益率序列具有尖峰、胖尾等非正态分布特征并显示出明显的波动率聚集现象。通过在模拟实验中设定股票价格的不同涨跌幅限制范围,研究了涨跌停板设置对股票市场波动性的影响,分析结果表明,在忽略诸如恶意操纵等其他因素情况下,适当扩大涨跌幅限制并不会使股票收益的波动增大,相反还会使收益的波动率有较为明显的降低。
|
| 关 键 词： | 股票市场 订单驱动 微模拟 涨跌停 |
| 文章编号： | 23926907 |
| 修稿时间： | 07 16 2006 12:00AM |
Microscopic Simulation Research into the Ideal Price Limit on Stock Market |
| |
| SONG Feng-ming,LI Chao.Microscopic Simulation Research into the Ideal Price Limit on Stock Market[J].Operations Research and Management Science,2007,16(1):100-106. |
| |
| Authors: | SONG Feng-ming LI Chao |
| |
| Institution: | School of Economics and Management, Tsinghua University, Beijing 100084, China |
| |
| Abstract: | Based on the specification of the trading mechanism of China Stock Market and the characteristics of the investors,we introduce a microscopic simulation model of consecutive order driven stock market.The artificial stock market can reproduce a lot of stylized facts of the real market,such as fat tails of the return and volatility clustering.Furthermore,if there is no manipulation in the market,the volatility of the return will not increase,but decrease when the price limit broadens. |
| |
| Keywords: | stock market order driven market microscopic simulation price limit |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
|
