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采用人工股市模拟的方式探讨了不同价位股票最小报价单位变动对市场质量的影响.首先,以中国股市实际交易机制和交易行为作为输入变量,构造了基于改进的混合策略三因素预期模型、前景理论价值函数与风险偏好和交易意愿更新机制的有限理性agent模拟股票市场.然后,分别对三种价位股票采用不同最小报价单位进行了重复仿真实验.实验结果表明:不同于相对低价股.如果提高相对高价股的最小报价单位,虽然不可避免地会使价差显著增大,但可在不显著增加波动性的同时.使市场深度、交易量和市场效率都得到明显改善,从而显著提高了市场质量.因而,建议中国股市应当根据股价水平而灵活采取不同的最小报价单位.即针对高价股适当提高最小报价单位.
This paper uses the method of artificial stock market simulation to discuss the impact of changes in the minimum quoted units of different price stocks on the market quality.First, based on the actual trading mechanism and transaction behavior of China’s stock market as input variables, a three-factor forecasting model based on improved hybrid strategy is constructed, The value function and the risk appetite and the trading rational renewal mechanism to simulate the stock market.By using the different minimum quoted units for the three kinds of price stocks respectively, the simulation experiments are carried out.The experimental results show that: different from the relative low-priced stocks, Relatively high-priced stocks of the smallest quotation unit, although inevitably make the price difference significantly increased, but can not significantly increase the volatility at the same time, the market depth, volume and market efficiency have been significantly improved, which significantly improved the quality of the market Therefore, it is suggested that the Chinese stock market should adopt different minimum quotation units flexibly according to the stock price level, that is, appropriately raise the minimum quotation unit for high-priced stocks.