我国股票期权市场交易制度研究
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摘要
我国资本市场的健康发展需要进一步完善产品结构、加强风险分散以及加快多层次资本市场体系建设。海外股票期权市场发展迅猛,已经成为全球资本市场上主要的风险管理工具。股票期权产品的引入是我国未来进一步完善多层次资本市场建设的必由之路。因此,充分研究适合我国证券市场环境的股票期权市场交易制度,可以为我国将来推出股票期权产品提供有力支持。
突破以往对于交易制度进行定性比较研究的局面,通过对价格形成机制理论的梳理,借鉴微观结构理论的研究思路,结合海外股票期权市场的宝贵经验,基于计算实验金融方法,搭建人工股票期权市场仿真平台,并对交易制度进行定量的比较研究。改进随机碰撞仿真模型,并将我国证券市场权证定价模型引入Agent决策行为,构建连续双向拍卖市场模型。将市场微观结构理论中研究竞争性做市商市场价格发现的信息模型思想引入到混合交易制度市场研究中,并从投资者交易行为和做市商行为两个方面对连续双向拍卖市场仿真模型进行改进,使其具有混合交易制度市场的特征,并基于混合交易制度市场分别从即时成交比例和最大价差限制两个角度进行对比实验,并将连续双向拍卖市场和混合交易制度市场的实验结果进行对比分析。实验结果表明混合交易制度市场的价格波动低于连续双向拍卖市场,与此同时,混合交易制度市场的成交量却大于连续双向拍卖市场,根据我国证券市场环境以及投资者特征,选择混合交易制度有利于我国股票期权市场的健康发展。
在股票期权产品推出的其他方面,推出初期可首先选择欧式期权和实物交割方式,并根据我国证券市场的波动情况制定执行价格间距.且从股票期权的投资者准入入手对市场风险进行控制。
The healthy development of financial markets in China need many things to do as further improving the product structure, enhancing risk diversification, and to accelerate the construction of multi-level financial market system. Overseas stock options market is developing rapidly and has become a major risk management tool in the global financial markets. The introduction of stock options is the effective way for sustainable development of financial markets in China. Therefore, the research of trading institution in stock options market with Chinese securities market environment is good for the introduction of stock options.
It is better than qualitative research before that this paper gives a quantitative research of trading mechanism in stock options market with the method of Agent-based computational finance. At the same time the paper learned from the theory of price formation mechanism, the theory of market microstructure and based on the valuable experience of overseas stock options market. We build two artificial stock options market simulation models to research the price and volume in market. One is continuous double auction market based on improved Random crash simulation model and the introduction of China's securities market warrant pricing model. The other is mixed trading system market based on the idea of market maker information model. The second one is improved on the first one with the action of investor and market maker. We give the compare analyze based on two models and the second one with immediate turnover ratio and the maximum bid-ask spreads limit.Experimental results show that the price volatility in mixed trading system market is lower than in the continuous double auction market, at the same time, the volume is bigger than it. According to China's securities market environment and investor characteristics, mixed trading system market is good for the developing of the stock options market in China.
In addition, European-style options and physical delivery mode can be chosen firstly, the spacing of exercise price can be made with the fluctuations of securities market in China, and the control of market risk can be from the investors' access.
突破以往对于交易制度进行定性比较研究的局面,通过对价格形成机制理论的梳理,借鉴微观结构理论的研究思路,结合海外股票期权市场的宝贵经验,基于计算实验金融方法,搭建人工股票期权市场仿真平台,并对交易制度进行定量的比较研究。改进随机碰撞仿真模型,并将我国证券市场权证定价模型引入Agent决策行为,构建连续双向拍卖市场模型。将市场微观结构理论中研究竞争性做市商市场价格发现的信息模型思想引入到混合交易制度市场研究中,并从投资者交易行为和做市商行为两个方面对连续双向拍卖市场仿真模型进行改进,使其具有混合交易制度市场的特征,并基于混合交易制度市场分别从即时成交比例和最大价差限制两个角度进行对比实验,并将连续双向拍卖市场和混合交易制度市场的实验结果进行对比分析。实验结果表明混合交易制度市场的价格波动低于连续双向拍卖市场,与此同时,混合交易制度市场的成交量却大于连续双向拍卖市场,根据我国证券市场环境以及投资者特征,选择混合交易制度有利于我国股票期权市场的健康发展。
在股票期权产品推出的其他方面,推出初期可首先选择欧式期权和实物交割方式,并根据我国证券市场的波动情况制定执行价格间距.且从股票期权的投资者准入入手对市场风险进行控制。
The healthy development of financial markets in China need many things to do as further improving the product structure, enhancing risk diversification, and to accelerate the construction of multi-level financial market system. Overseas stock options market is developing rapidly and has become a major risk management tool in the global financial markets. The introduction of stock options is the effective way for sustainable development of financial markets in China. Therefore, the research of trading institution in stock options market with Chinese securities market environment is good for the introduction of stock options.
It is better than qualitative research before that this paper gives a quantitative research of trading mechanism in stock options market with the method of Agent-based computational finance. At the same time the paper learned from the theory of price formation mechanism, the theory of market microstructure and based on the valuable experience of overseas stock options market. We build two artificial stock options market simulation models to research the price and volume in market. One is continuous double auction market based on improved Random crash simulation model and the introduction of China's securities market warrant pricing model. The other is mixed trading system market based on the idea of market maker information model. The second one is improved on the first one with the action of investor and market maker. We give the compare analyze based on two models and the second one with immediate turnover ratio and the maximum bid-ask spreads limit.Experimental results show that the price volatility in mixed trading system market is lower than in the continuous double auction market, at the same time, the volume is bigger than it. According to China's securities market environment and investor characteristics, mixed trading system market is good for the developing of the stock options market in China.
In addition, European-style options and physical delivery mode can be chosen firstly, the spacing of exercise price can be made with the fluctuations of securities market in China, and the control of market risk can be from the investors' access.
引文
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②范为.陈宇.中国权证市场认购权证的价格偏语研究[J].管理学报.2008(5)：408-412
具体推导过程请参见：代军.中国权证市场的价格偏误及其均衡期权定价模型研究[J].管理评论.2010(12)：28-35
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为：“结算模式、结算交割流程、保证金制度、每日结算以及到期交割制度等”。
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①李子奈,计量经济学[M],北京：高等教育出版社,2006.3,第43页
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张维等著,计算实验金融研究[M].北京：科学出版社,2010.11,第67页,该书是国内计算实验金融领域的第一本著作,系统总结了计算实验金融方法论，并分析了思想起源于发展脉络。
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①代军.中国权证市场的价格偏误及期均衡期权定价模型究[J].管理评论.2010(12)：28-35
②范为.陈宇.中国权证市场认购权证的价格偏语研究[J].管理学报.2008(5)：408-412
具体推导过程请参见：代军.中国权证市场的价格偏误及其均衡期权定价模型研究[J].管理评论.2010(12)：28-35
①范为,陈宇.中国权证市场认购权证的价格偏误研究[J].管理学报,2008(5)：408-412
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Amilon H.. Estimation of an adaptive stock market model with heterogeneous agents[J]. Journal of Empirical Finance, 2008 (15):342-362
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Ecea S., M. Marchesi, A.. Sctzu. Modeling and Simulation of an Artificial Stock Option Market[J|. Computational Economics. 2008 (32):37-53
陈建瑜,股票期权：合约设计与运作构想[M].北京：中国财政经济出版社,2007.1,第181页中将结算制度的范畴定义
为：“结算模式、结算交割流程、保证金制度、每日结算以及到期交割制度等”。
Brock W.A., C.H. Hommes. Heterogeneous beliefs and routes to chaos in a simple asset pricing model [J]. Journal of Economic Dynamics and Control,1998(22): 1235-1274
Amilon H.. Estimation of an adaptive stock market model with heterogeneous agents [J]. Journal of Empirical finance. 2008 (15):342-362
①Brock W.A.. C.H Hommes. Heterogeneous beliefs and routes to chaos in a shipleasset pricing model[J]. Journal of Economic Dynamics and Control. 1998(22):1235-1274
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①李子奈,计量经济学[M],北京：高等教育出版社,2006.3,第43页
②Brock W.A., C.H. Homines. Heterogeneous beliefs and routes to chaos in a simple asset pricinsi model[J]. Journal of Economic Dynamics and Control. 1998(22): 1255-1274
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资料来源：李黎,张羽.香港股票期权市场运行机制研究[J],中国证券期货,2008(12)：60-68
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