本文選題：實(shí)驗(yàn)金融 + 交易機(jī)制��； 參考：《廣東工業(yè)大學(xué)》2012年碩士論文

【摘要】：傳統(tǒng)的資產(chǎn)定價(jià)理論將交易機(jī)制視為外生變量,在價(jià)格形成過(guò)程中無(wú)關(guān)緊要,而隨著金融市場(chǎng)微觀結(jié)構(gòu)理論的興起,人們注意到實(shí)際的證券市場(chǎng)并非傳統(tǒng)的資本資產(chǎn)定價(jià)模型和套利定價(jià)模型所持有的有效市場(chǎng)假設(shè),越來(lái)越多的研究表明由于投資者有限理性或非理性行為、信息不對(duì)稱、交易成本等因素的存在,證券市場(chǎng)交易制度作為影響價(jià)格形成過(guò)程的內(nèi)生變量,會(huì)對(duì)市場(chǎng)流動(dòng)性、價(jià)格波動(dòng)性和市場(chǎng)效率等市場(chǎng)質(zhì)量產(chǎn)生影響。收盤價(jià)機(jī)制作為證券市場(chǎng)交易制度的組成部分之一,必然的也會(huì)對(duì)股市產(chǎn)生重要影響。 由于現(xiàn)行的收盤價(jià)數(shù)據(jù)收集方便、并且被假定為能夠代表股價(jià)在一個(gè)交易日結(jié)束時(shí)的價(jià)格,因?yàn)樵搩r(jià)格為金融理論與實(shí)務(wù)界廣泛應(yīng)用。證券市場(chǎng)上的開(kāi)盤集合競(jìng)價(jià)訂單一般以昨日的收盤價(jià)格為基準(zhǔn),然而當(dāng)前收盤價(jià)格機(jī)制存在易被人為操縱、并且未能反映交易日內(nèi)全體投資者的預(yù)期等缺陷。長(zhǎng)期看來(lái),這必將導(dǎo)致股價(jià)偏離股票基本面以及全體投資者的預(yù)期。一種合適的交易機(jī)制應(yīng)能夠有效地反映出證券資產(chǎn)的價(jià)值,穩(wěn)定和促進(jìn)市場(chǎng)的發(fā)展。然而,不同金融資產(chǎn)有其特有的屬性和價(jià)值行為,如何為這些金融產(chǎn)品選擇和設(shè)計(jì)一個(gè)合適的交易機(jī)制,則是證券市場(chǎng)監(jiān)管者必須面對(duì)的重要問(wèn)題。 本研究以此為出發(fā)點(diǎn),應(yīng)用計(jì)算實(shí)驗(yàn)金融研究方法,利用其自底向上的建模優(yōu)勢(shì),通過(guò)構(gòu)建投資者行為模型和交易機(jī)制模型創(chuàng)建仿真金融市場(chǎng),借助可控的金融實(shí)驗(yàn),創(chuàng)新設(shè)計(jì)交易機(jī)制。本研究首次提出眾望價(jià)概念,并基于交易日眾望價(jià),設(shè)計(jì)影響股票價(jià)格的交易機(jī)制,以一種新的集合競(jìng)價(jià)輸出價(jià)格代替證券市場(chǎng)原有的股票收盤價(jià)格機(jī)制,在計(jì)算實(shí)驗(yàn)金融平臺(tái)上,比較分析新收盤價(jià)機(jī)制對(duì)股票價(jià)格行為以及市場(chǎng)質(zhì)量的影響。 通過(guò)理論分析與MATLAB仿真實(shí)驗(yàn),得出以下主要研究結(jié)論有：1)在當(dāng)前證券市場(chǎng)交易機(jī)制下,疊加眾望價(jià)影響機(jī)制,長(zhǎng)期看來(lái),將使得股票價(jià)格更接近全體投資者對(duì)于資產(chǎn)基本面價(jià)值的預(yù)期；2)眾望價(jià)影響機(jī)制的融入,有利于降低股市的系統(tǒng)風(fēng)險(xiǎn)以及市場(chǎng)操作風(fēng)險(xiǎn)；3)新機(jī)制下收益率的一些統(tǒng)計(jì)異象(如超峰、肥尾、波動(dòng)聚集性等),不如真實(shí)股票數(shù)據(jù)那么明顯。 本研究建議：改革當(dāng)前我國(guó)證券市場(chǎng)以“昨日收盤價(jià)為基準(zhǔn),約束今日開(kāi)盤集合競(jìng)價(jià)訂單價(jià)格”的機(jī)制,而以“昨日的眾望價(jià)”進(jìn)行替代。 本文通過(guò)對(duì)證券市場(chǎng)交易機(jī)制驚醒研究,研究結(jié)論能夠?yàn)楫?dāng)前證券監(jiān)管部門優(yōu)化當(dāng)前證券市場(chǎng)交易機(jī)制提供相關(guān)的模型和理論參考。同時(shí),也有利于引導(dǎo)現(xiàn)實(shí)投資者做出更為理性的投資決策。
[Abstract]:The traditional asset pricing theory regards the transaction mechanism as an exogenous variable, which does not matter in the process of price formation. However, with the rise of the financial market microstructure theory, It is noted that actual securities markets are not efficient market assumptions held by traditional capital asset pricing models and arbitrage pricing models. More and more studies show that information is asymmetric due to limited or irrational behavior of investors. As an endogenous variable affecting the process of price formation, the securities market trading system will have an impact on the market quality, such as market liquidity, price volatility and market efficiency. As one of the components of the stock market trading system, the closing price mechanism will inevitably have an important impact on the stock market. Because the current closing price data is easy to collect and is assumed to represent the price of the stock price at the end of a trading day, the price is widely used in financial theory and practice. The open aggregate bidding orders in the stock market are usually based on the closing price of yesterday. However, the current closing price mechanism is easy to manipulate and fails to reflect the expectations of all investors in the trading day. In the long run, this is bound to cause stock prices to deviate from stock fundamentals and expectations for all investors. An appropriate trading mechanism can effectively reflect the value of securities assets, stabilize and promote the development of the market. However, different financial assets have their unique attributes and value behaviors. How to choose and design a suitable trading mechanism for these financial products is an important problem that the securities market regulators must face. This study takes this as the starting point, applies the computational experimental finance research method, utilizes its bottom-up modeling advantage, creates the simulation financial market by constructing the investor behavior model and the trading mechanism model, and makes use of the controllable financial experiment. Innovative design of trading mechanism. In this study, the concept of popular expectation price is first put forward, and based on the expected price of the trading day, the trading mechanism that affects the stock price is designed to replace the original stock closing price mechanism with a new collective bidding price output price. In this paper, the influence of new closing price mechanism on stock price behavior and market quality is compared and analyzed on the platform of calculating experimental finance. Through theoretical analysis and MATLAB simulation experiment, the following main conclusions are drawn: 1) under the current stock market trading mechanism, the mechanism of superimposing the influence of public expectation price, in the long run, It will bring stock prices closer to the expectations of all investors about the fundamental value of assets. Some statistical anomalies (such as excess peak, fat tail, volatility aggregation, etc.) under the new mechanism are not as obvious as the real stock data. This paper proposes to reform the mechanism of "yesterday's closing price as the benchmark, to restrain the opening price of today's collective bidding order" and to replace it with "yesterday's expected price" in China's securities market. By studying the trading mechanism of securities market, the conclusion can provide relevant model and theoretical reference for securities supervision department to optimize the trading mechanism of current securities market. At the same time, it also helps to guide real investors to make more rational investment decisions.
【學(xué)位授予單位】：廣東工業(yè)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F830.91;F224

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本文編號(hào)：1984385