基于计算实验金融的跨市场风险传递
|
摘要
2010年4月16日，中国金融市场的第一只股指期货----沪深300股指期货合约正式上市交易。这一举措标志着中国将出现股指期货市场与股票市场并存的跨市场结构。细数国外金融发展的种种历史事件，很多次金融风险事件都是由这种跨市场结构导致或影响的。基于这些风险事件的发生，同时也是为了保证我国金融市场健康、有序的发展，研究这种跨市场风险是十分必要的。然而以往关于跨市场风险研究主要运用的是统计的方法，无法深层次地研究金融市场最核心的主体，即投资者的行为，而由复杂自适应系统与计算机技术相结合而发展起来的计算实验金融方法很好地解决了这一问题。所谓计算实验金融，即通过构建人工金融市场，研究不同的投资者交易策略、不同的市场交易机制等微观特性对于市场宏观特性的影响。
本文首先利用Netlogo建立一个人工股票市场，其次将人工股票市场产生的价格序列导入人工股指期货市场中去，从而建立跨市场结构。利用跨市场模型分析两个金融市场的风险传递过程。
本文主要成果是剖析了跨市场风险传递的过程与机制，股票市场的风险因素对于股指期货市场都有影响的，但前提是股指期货市场的投资者的投资策略受股指的影响。此外，集合竞价的方式，决定了投资者的投资决策直接影响标的物的价格。因此，股票投资者的投资策略对于股指期货的价格是有影响的。此外，关于这种影响的程度与规律，本文在实验部分也做了详细论证，得到相应的一些结论。
On April 16, 2010, the first stock index futures on China financial market,Shanghai and Shenzhen 300 stock index futures contracts traded on the official. Themovement indicates that China will appear the coexistence of stock index futuresmarket and the stock market named crosse-market-structure. Many financial riskevents are caused by this crosse-market-structure. Not only because of these riskevents, but also to ensure that our financial markets will develop healthy andorderly ,the research on such crossed-market-risk is essential. Then the previousresearch on crosse-market risk often use statistical methods, so they could not study indepth the core of the market----behavior of investors.ACF solves this problem.
This thesis uses an artificial stock market Netlogo, followed by the artificialstock market fluctuations in import prices resulting from artificial stock index futuresmarket to, where stock index futures market using artificial U-Mart platform.
The main conclusion is the reverse for the momentum investors and investorshave tended to the median observation period, the smaller the volatility of stock indexfutures and futures investors tend to median income.If the observation period tooshort or too long ,the return of investors tend to extreme loss. In addition, the accuracyhow the investors tend to judge is higher and prices of future less volatile; when thecorrect rate decline, futures volatility significantly increas.In addition, futuresinvestors on high income level accuracy tends to intermediate values and when thecorret rate is low,gains and losses is low and gains and losses of investors in futurestend to extreme .
本文首先利用Netlogo建立一个人工股票市场，其次将人工股票市场产生的价格序列导入人工股指期货市场中去，从而建立跨市场结构。利用跨市场模型分析两个金融市场的风险传递过程。
本文主要成果是剖析了跨市场风险传递的过程与机制，股票市场的风险因素对于股指期货市场都有影响的，但前提是股指期货市场的投资者的投资策略受股指的影响。此外，集合竞价的方式，决定了投资者的投资决策直接影响标的物的价格。因此，股票投资者的投资策略对于股指期货的价格是有影响的。此外，关于这种影响的程度与规律，本文在实验部分也做了详细论证，得到相应的一些结论。
On April 16, 2010, the first stock index futures on China financial market,Shanghai and Shenzhen 300 stock index futures contracts traded on the official. Themovement indicates that China will appear the coexistence of stock index futuresmarket and the stock market named crosse-market-structure. Many financial riskevents are caused by this crosse-market-structure. Not only because of these riskevents, but also to ensure that our financial markets will develop healthy andorderly ,the research on such crossed-market-risk is essential. Then the previousresearch on crosse-market risk often use statistical methods, so they could not study indepth the core of the market----behavior of investors.ACF solves this problem.
This thesis uses an artificial stock market Netlogo, followed by the artificialstock market fluctuations in import prices resulting from artificial stock index futuresmarket to, where stock index futures market using artificial U-Mart platform.
The main conclusion is the reverse for the momentum investors and investorshave tended to the median observation period, the smaller the volatility of stock indexfutures and futures investors tend to median income.If the observation period tooshort or too long ,the return of investors tend to extreme loss. In addition, the accuracyhow the investors tend to judge is higher and prices of future less volatile; when thecorrect rate decline, futures volatility significantly increas.In addition, futuresinvestors on high income level accuracy tends to intermediate values and when thecorret rate is low,gains and losses is low and gains and losses of investors in futurestend to extreme .
引文
[1] Brady Commission, Report of the Presidential Task Force on MarketMechanisms，1998
[2] The Securities Review Committee, Report of the Securities Review Committee(Ian Hay Davison Report)，1998
[3] Harris L. , The October 1987 S&P 500 stock-futures basis, Journal ofFinance ,1989.77–99
[4] Miller H. M., The Crash of 1987: Bubble of Fundamental?, FinancialInnovations and Market Volatility,1991
[5] Kleidon, W., and R. Whaley, One Market? Stocks, Futures, and OptionsDuring October 1987, The Journal of Finance, 1992.47(3), 851-877
[6] Bessembinder, H. and P. Seguin, Futures-Trading Activity and Stock PriceVolatility, Journal of Finance,1992. 47, 2015-2034
[7] Gulen, M., P. Huseyin and S. Mayhew, Stock Index Futures Trading andVolatility in International Equity Markets, Journal of Futures Markets,2000. 20,661-685
[8] Illueca M, and Lafuente JA, The effect of futures trading activity on thedistribution of spot market returns, Journal of Futures Markets, 2007,27(9),839–866
[9] Chan, K., K. Chan and G. A. Karolyi, Intraday Volatility in the Stock Indexand Stock Index Futures Market, Review of Financial Studies ,1991.4, 637-684
[10] Areal, N. and S. Taylor , The Realized Volatility of FTSE-100 Futures Price,Journal of Futures Markets, 2002.22, 627-648
[11] Mckenzie, M., D. Timothy, J. Brailsford and R. Faff, New Insights into theImpact of the Introduction of Futures Trading on Stock Price Volatility,Journal of Futures Markets, 2001.21,237-255
[12] Stoll,H. and R. Whaley, Program Trading and Expiration-Day Effects,Financial Analysts Journal, 45(3),16-28
[13] Chamberlain, W. , Maturity Effects in Futures Markets: Some Evidence fromthe City of London”, Scottish Journal of Political Economy, 1989.36, pp.90-95
[14] Schlag, C., Expiration day effects of stock index derivatives in Germany,European Financial Management, 1996.1, 69–95
[15]邢精平，股票指数期货：方案设计与运作分析,北京：中国财经出版社，2007
[16]熊熊、张维、李帅等，台湾股票指数期货的日内价格发现机制研究，管理科学学报，2008.vol. 11，No. 2，91-99
[17]王伟峰和刘阳，股指期货的跨期套利研究——模拟股指市场实证，金融研究，2007.vol. 12，No. 330，236-241
[18] Grossman, S., Program trading and market volatility: a report on intradayrelationship, Financial Analysts Journal ,1998.44, 18-28
[19] Hogan, K., Kenneth F., S.Jahangir etc., Program trading, nonprogram trading,and market volatility, Journal of Futures Markets,1997,17(7) ,733-756
[20] Morris, C.S., Coordinating circuit breakers in stock and futures markets,Economic Review, 1990.35-48
[21] Baigent G., and V. Massaro, Derivatives and the 1987 market crash,Management Research News, 2005.28, (1), 94-105
[22] Gennotte G. and H. Leland, Market Liquidity, Hedging and Crashes, AmericanEconomic Review, 1990.80, 999-1021
[23]郑尊信和吴冲锋，现金结算价与股指期货操纵，系统管理学报，2007.vol.16，No. 1，pp 69-73.
[24]王洛林、余永定和李薇，对香港股灾发展过程的经济分析，国际经济评论，1998.vol.5, pp5-12.
[25]郎咸平，操纵，上海：东方出版社，2007.78-90
[26] Joseph K., and W. Fung, The Information Content of Option Implied VolatilitySurrounding the 1997 Hong Kong Stock Market Crash, Journal of FuturesMarkets, 2005.27, 555-574
[27]张维和熊熊，股指期货市场价格操纵行为的手段、特点及防范，中国期货业协会第四期联合研究计划研究报告,2008
[28] Chou P-H, M-C Lin and M-T Yu , The effectiveness of coordinating pricelimits across futures and spot markets, Journal of futures markets,2003.6,577-602.
[29] Brennan M., A Theory of Price Limits in Futures Markets, Journal ofFinancial Economics ,1986.16,213-233.
[30] Shiller R., From Efficient Market Theory to Behavioral Finance.CowlesFoundation Discussion Paper No.1385. 2002.
[31] Arthur W., J. Holland, B. LeBaron, R. Palmer etc., Asset Pricing underEndogenous Expectations in an Artificial Stock Market, The Economy as anEvolving Complex System II, Santa Fe Institute Studies in the Sciences ofComplexity 27,1997
[32] Lux T, Marchesi M. Volatility clustering in financial markets: Amicro-simulation of interacting agents[J]. International Journal of Theoreticaland Applied Finance, 2000,3(4):675-702.
[33] Chen S H, Yeh C H. On the emergent properties of artificial stock markets: theefficient market hypothesis and the rational expectations hypothesis [J].Journal of Economic Behavior and Organization, 2002, 49(October):217-239.
[34] Chen S H, Liao C C. Behavioral Finance and Agent-Based ComputationalFinance: Toward an Integrating Framework[C]. USA: Proceedings of the 7thJoint Conference on Information Sciences, Cary, North Carolina, September26-30, 2003:1235-1238.
[35]高宝俊，宣慧玉和李璐.基于Agent的连续竞价股票市场仿真研究[J]，管理评论，2005年第6期：3-7
[36]姜继娇，杨乃定.基于有限理性Agent的人工股票市场模型[J]，计算机工程与应用，2005年第35期：4-9
[37]张维，赵帅特，熊熊，张永杰.计算实验金融、技术规则与时间序列收益可预测性[J]，管理科学学报，2008年第3期：74-84
[38]宋逢明和田萌，中国股票市场的操纵与监管：模拟分析，财经理论与实践，2004.vol. 25，No. 130,61-65.
[39] Zhang ,W., Y J Zhang ,X. Xiong and X . Jin , BSV investors versus rationalinvestors: An agent-based computational finance model, International Journalof Information Technology & Decision Making, 2006, 5(3): 455-467.
[40] Terna, P., and A. Cappellini , SumWEB: stock market experiment environmentfor natural and artificial agents, SwarmFest 2004, Ann Arbor, Michigan USA -Monday, May 10th, 2004.
[41] Kobayashi S., and T. Hashimoto , Analysis of Circuit Breakers Using ArtificialStock Market, Proceedings of The Twelvth International Symposium onArtificial Life and Robotics, in Sugisaka and H. Tanaka (Eds.),2007
[42] Ecca,S., M. Marchesi and Setzu A. , Modeling and Simulation of an ArtificialStock Option Market, Computational Economics, 2008.32, 37–53.
[43]吴高华，股指期货交易策略模拟研究：[硕士学位论文]，天津；天津大学，2009
[44] U-Mart Project,Tutorials( English Version),Japan:U-Mart Project,2005
[45]李蓉蓉，股票市场投资策略仿真研究：[硕士学位论文]，天津；天津大学，2009
[2] The Securities Review Committee, Report of the Securities Review Committee(Ian Hay Davison Report)，1998
[3] Harris L. , The October 1987 S&P 500 stock-futures basis, Journal ofFinance ,1989.77–99
[4] Miller H. M., The Crash of 1987: Bubble of Fundamental?, FinancialInnovations and Market Volatility,1991
[5] Kleidon, W., and R. Whaley, One Market? Stocks, Futures, and OptionsDuring October 1987, The Journal of Finance, 1992.47(3), 851-877
[6] Bessembinder, H. and P. Seguin, Futures-Trading Activity and Stock PriceVolatility, Journal of Finance,1992. 47, 2015-2034
[7] Gulen, M., P. Huseyin and S. Mayhew, Stock Index Futures Trading andVolatility in International Equity Markets, Journal of Futures Markets,2000. 20,661-685
[8] Illueca M, and Lafuente JA, The effect of futures trading activity on thedistribution of spot market returns, Journal of Futures Markets, 2007,27(9),839–866
[9] Chan, K., K. Chan and G. A. Karolyi, Intraday Volatility in the Stock Indexand Stock Index Futures Market, Review of Financial Studies ,1991.4, 637-684
[10] Areal, N. and S. Taylor , The Realized Volatility of FTSE-100 Futures Price,Journal of Futures Markets, 2002.22, 627-648
[11] Mckenzie, M., D. Timothy, J. Brailsford and R. Faff, New Insights into theImpact of the Introduction of Futures Trading on Stock Price Volatility,Journal of Futures Markets, 2001.21,237-255
[12] Stoll,H. and R. Whaley, Program Trading and Expiration-Day Effects,Financial Analysts Journal, 45(3),16-28
[13] Chamberlain, W. , Maturity Effects in Futures Markets: Some Evidence fromthe City of London”, Scottish Journal of Political Economy, 1989.36, pp.90-95
[14] Schlag, C., Expiration day effects of stock index derivatives in Germany,European Financial Management, 1996.1, 69–95
[15]邢精平，股票指数期货：方案设计与运作分析,北京：中国财经出版社，2007
[16]熊熊、张维、李帅等，台湾股票指数期货的日内价格发现机制研究，管理科学学报，2008.vol. 11，No. 2，91-99
[17]王伟峰和刘阳，股指期货的跨期套利研究——模拟股指市场实证，金融研究，2007.vol. 12，No. 330，236-241
[18] Grossman, S., Program trading and market volatility: a report on intradayrelationship, Financial Analysts Journal ,1998.44, 18-28
[19] Hogan, K., Kenneth F., S.Jahangir etc., Program trading, nonprogram trading,and market volatility, Journal of Futures Markets,1997,17(7) ,733-756
[20] Morris, C.S., Coordinating circuit breakers in stock and futures markets,Economic Review, 1990.35-48
[21] Baigent G., and V. Massaro, Derivatives and the 1987 market crash,Management Research News, 2005.28, (1), 94-105
[22] Gennotte G. and H. Leland, Market Liquidity, Hedging and Crashes, AmericanEconomic Review, 1990.80, 999-1021
[23]郑尊信和吴冲锋，现金结算价与股指期货操纵，系统管理学报，2007.vol.16，No. 1，pp 69-73.
[24]王洛林、余永定和李薇，对香港股灾发展过程的经济分析，国际经济评论，1998.vol.5, pp5-12.
[25]郎咸平，操纵，上海：东方出版社，2007.78-90
[26] Joseph K., and W. Fung, The Information Content of Option Implied VolatilitySurrounding the 1997 Hong Kong Stock Market Crash, Journal of FuturesMarkets, 2005.27, 555-574
[27]张维和熊熊，股指期货市场价格操纵行为的手段、特点及防范，中国期货业协会第四期联合研究计划研究报告,2008
[28] Chou P-H, M-C Lin and M-T Yu , The effectiveness of coordinating pricelimits across futures and spot markets, Journal of futures markets,2003.6,577-602.
[29] Brennan M., A Theory of Price Limits in Futures Markets, Journal ofFinancial Economics ,1986.16,213-233.
[30] Shiller R., From Efficient Market Theory to Behavioral Finance.CowlesFoundation Discussion Paper No.1385. 2002.
[31] Arthur W., J. Holland, B. LeBaron, R. Palmer etc., Asset Pricing underEndogenous Expectations in an Artificial Stock Market, The Economy as anEvolving Complex System II, Santa Fe Institute Studies in the Sciences ofComplexity 27,1997
[32] Lux T, Marchesi M. Volatility clustering in financial markets: Amicro-simulation of interacting agents[J]. International Journal of Theoreticaland Applied Finance, 2000,3(4):675-702.
[33] Chen S H, Yeh C H. On the emergent properties of artificial stock markets: theefficient market hypothesis and the rational expectations hypothesis [J].Journal of Economic Behavior and Organization, 2002, 49(October):217-239.
[34] Chen S H, Liao C C. Behavioral Finance and Agent-Based ComputationalFinance: Toward an Integrating Framework[C]. USA: Proceedings of the 7thJoint Conference on Information Sciences, Cary, North Carolina, September26-30, 2003:1235-1238.
[35]高宝俊，宣慧玉和李璐.基于Agent的连续竞价股票市场仿真研究[J]，管理评论，2005年第6期：3-7
[36]姜继娇，杨乃定.基于有限理性Agent的人工股票市场模型[J]，计算机工程与应用，2005年第35期：4-9
[37]张维，赵帅特，熊熊，张永杰.计算实验金融、技术规则与时间序列收益可预测性[J]，管理科学学报，2008年第3期：74-84
[38]宋逢明和田萌，中国股票市场的操纵与监管：模拟分析，财经理论与实践，2004.vol. 25，No. 130,61-65.
[39] Zhang ,W., Y J Zhang ,X. Xiong and X . Jin , BSV investors versus rationalinvestors: An agent-based computational finance model, International Journalof Information Technology & Decision Making, 2006, 5(3): 455-467.
[40] Terna, P., and A. Cappellini , SumWEB: stock market experiment environmentfor natural and artificial agents, SwarmFest 2004, Ann Arbor, Michigan USA -Monday, May 10th, 2004.
[41] Kobayashi S., and T. Hashimoto , Analysis of Circuit Breakers Using ArtificialStock Market, Proceedings of The Twelvth International Symposium onArtificial Life and Robotics, in Sugisaka and H. Tanaka (Eds.),2007
[42] Ecca,S., M. Marchesi and Setzu A. , Modeling and Simulation of an ArtificialStock Option Market, Computational Economics, 2008.32, 37–53.
[43]吴高华，股指期货交易策略模拟研究：[硕士学位论文]，天津；天津大学，2009
[44] U-Mart Project,Tutorials( English Version),Japan:U-Mart Project,2005
[45]李蓉蓉，股票市场投资策略仿真研究：[硕士学位论文]，天津；天津大学，2009