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现有的研究一般将金融市场中的胖尾分布、波动聚集、长期记忆等格式化特征的形成机归于交易者的行为。为了研究市场交易机制对这些特征有何影响,以我国证券市场交易制度为蓝本建立了一个连续竞价市场的基于Agent的仿真模型。仿真结果表明:在连续竞价机制下,即使Age是理性的基本分析者或简单的随机交易者,模型仍然能够再现上述特征。这一结果说明,交易机也是导致格式化特征的重要原因。
The existing researches generally attribute traders’ behavior to the formation of the formatting features such as fat tail distribution, volatility accumulation and long-term memory in the financial market. In order to study how the market trading mechanism affects these characteristics, an agent-based simulation model of continuous bidding market is established based on the trading system of China’s securities market. The simulation results show that under the continuous bidding mechanism, the model can reproduce the above characteristics even if Age is a rational basic analyst or a simple random trader. This result shows that the transaction machine is also an important reason for the formatting features.