本文選題：做市商　切入點(diǎn)：定價(jià)策略　出處：《天津財(cái)經(jīng)大學(xué)》2013年碩士論文

【摘要】：市場(chǎng)微觀結(jié)構(gòu)的核心在于交易機(jī)制的設(shè)計(jì),這直接決定著證券市場(chǎng)的效率。而做市商交易機(jī)制作為市場(chǎng)微觀結(jié)構(gòu)的重要組成部分,在當(dāng)今世界主要的發(fā)達(dá)資本市場(chǎng)中扮演著重要的角色。由于做市商交易機(jī)制有助于實(shí)現(xiàn)市場(chǎng)的高流動(dòng)性、高穩(wěn)定性以及價(jià)格發(fā)現(xiàn)等目標(biāo)。因此,其已成為全球交易量最大的交易機(jī)制。然而正如Madhavan and Sofianos(1998)所言,做市商的報(bào)價(jià)策略不是十分明確。何種報(bào)價(jià)策略能夠同時(shí)滿足市場(chǎng)流動(dòng)性的需求、價(jià)格穩(wěn)定性的要求以及自身實(shí)現(xiàn)利益最大化的要求?做市商在報(bào)價(jià)過(guò)程中必須根據(jù)自身的責(zé)任與義務(wù)權(quán)衡利弊,從而找到一條合理的報(bào)價(jià)規(guī)則。 論文研究了一個(gè)基于做市商交易機(jī)制的跨期資產(chǎn)定價(jià)模型,其中做市商用于市場(chǎng)出清并通過(guò)設(shè)定買(mǎi)賣報(bào)價(jià)來(lái)最大化自身財(cái)富效用,這有別于用于傳統(tǒng)理論研究的瓦爾拉斯拍賣(Walras Auctioneer)交易機(jī)制以及之前的不涉及買(mǎi)賣雙報(bào)價(jià)做市商市場(chǎng)模型。另外,主要考慮兩種類型的有限理性投資者,即基本面投資者與趨勢(shì)跟隨者。通過(guò)異質(zhì)投資者間以及與做市商的相互影響來(lái)體現(xiàn)市場(chǎng)關(guān)鍵特征。最終結(jié)果反映了確定性差分系統(tǒng)關(guān)鍵參數(shù)對(duì)于其穩(wěn)定性的影響,并較為詳實(shí)地描述了穩(wěn)定區(qū)間；隨機(jī)性系統(tǒng)的數(shù)值仿真結(jié)果反映出本模型可以模擬出諸如尖峰厚尾以及長(zhǎng)記憶等實(shí)證特點(diǎn)。這些結(jié)果表明,在效用最大化的前提下,做市商審慎的定價(jià)策略不但可以為市場(chǎng)提供流動(dòng)性,還可以保證價(jià)格的穩(wěn)定性,引導(dǎo)市場(chǎng)價(jià)格趨于合理。
[Abstract]:The core of the market microstructure is the design of the trading mechanism, which directly determines the efficiency of the securities market. It plays an important role in the major developed capital markets in the world today. Since the market-maker trading mechanism contributes to the realization of the market's objectives of high liquidity, high stability and price discovery, It has become the world's largest trading mechanism by volume. However, as Madhavan and Sofianosi said in 1998, market-makers' pricing strategies are not very clear. The requirement of price stability and the requirement of maximizing profit? The market maker must weigh the advantages and disadvantages according to his own responsibility and obligation in order to find a reasonable quotation rule. This paper studies a cross-term asset pricing model based on the market maker trading mechanism, in which the market maker is used to clear the market and to maximize their wealth utility by setting the purchase and sale price. This is different from the Walras auction Walras Auctioneer-based trading mechanism used for traditional theoretical research and the previous market model for market makers not involved in buying and selling double quotes. In addition, two types of limited rational investors are considered. The key characteristics of the market are reflected by the interaction between heterogeneous investors and market makers. The final results reflect the influence of the key parameters of the deterministic difference system on its stability. The numerical simulation results of the stochastic system show that the model can simulate the empirical characteristics such as peak thick tail and long memory. These results show that, under the premise of maximizing utility, The marketer's prudent pricing strategy can not only provide liquidity for the market, but also ensure the stability of the price and lead the market price to be reasonable.
【學(xué)位授予單位】：天津財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F830.59;F224

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