發(fā)布時間：2018-09-07 07:30

【摘要】：本文選用人工股指期貨平臺自帶的j30指數作為現貨指數序列,考察在人工股指期貨市場的特定市場結構中,不同投資策略的投資者進行下單交易后產生的市場價格序列、成交量等涌現出來的宏觀特性,并運用描述性統(tǒng)計量,ARMA模型和ARCH-LM檢驗來度量收益率的尖峰厚尾和波動聚集特征。人工股指期貨市場(U-Mart)的市場架構為股指期貨的單市場交易,我們只能在其中買賣期貨合約,不存在期現市場的雙向作用機制,也不存在跨市場套利行為。因此,現貨指數序列是取自歷史的真實數據或者隨機生成的,是外生于期貨市場的。我們采用人工期貨市場的競價機制是集合競價,并采用固定算法規(guī)則撮合,無漲停和跌停的限制,也無摩擦和手續(xù)費用,并且允許賣空,其交易條件是相當寬松的。這樣一來我們就可以在一定額度的貸款下來更好地實現和觀測操作策略對于市場宏觀特性的影響。 經過實驗研究結論證明:在實驗一中,隨機交易生成的股指期貨價格非常平穩(wěn),僅在1980-2100間小范圍小幅度波動,波動性低,成交量也很小,流動性較差,從收益率特性來看,實驗一服從了收益率的正態(tài)分布假設,并沒有出現現實金融市場中出現的收益率的尖峰厚尾性,同時經過拉格朗日乘數檢驗后,也沒有發(fā)現波動聚集性。在實驗二中,移動平均投資者的加入使得期貨價格波動性略微提高,在2020-2200間波動,成交量也略微提高,流動性增加。從收益率曲線的特性來看,移動平均投資者的加入使得曲線開始偏離正態(tài)分布,盡管這種偏離程度不高,但是我們仍然可以看到尖峰厚尾特征的出現,同時我們也發(fā)現了價格收益率的波動群集特征。在實驗三中,動量投資者的加入使得股指期貨價格開始劇烈波動,成交量也大幅增加了。收益率曲線開始明顯的偏離正態(tài)分布,形成典型的尖峰厚尾特征,同時波動集群特征也明顯出現,由此我們可以得出趨勢投資者是造成金融市場中尖峰厚尾和波動群集特性的重要原因。
[Abstract]:This paper selects the J30 index of artificial stock index futures platform as the spot index sequence to investigate the market price sequence of investors with different investment strategies in the specific market structure of artificial stock index futures market. The macroscopical characteristics of turnover and so on are presented. The ARMA model of descriptive statistics and ARCH-LM test are used to measure the characteristics of peak, thick tail and volatility aggregation of yield. The market structure of artificial stock index futures market (U-Mart) is the single market trading of stock index futures, in which we can only buy and sell futures contracts, there is no two-way mechanism of the current market, and there is no cross-market arbitrage behavior. Therefore, the spot index series is derived from historical real data or randomly generated, is born out of the futures market. In the artificial futures market, the bidding mechanism is set bidding, and the fixed algorithm is used to set the price. There is no limit of the limit and limit, no friction and formalities, and the short selling is allowed. The trading conditions are quite loose. In this way, we can better realize and observe the effect of the operation strategy on the macro characteristics of the market with a certain amount of loan. The experimental results show that in the first experiment, the price of stock index futures generated by random trading is very stable, and only fluctuates in a small range between 1980 and 2100. The volatility is low, the turnover is very small, and the liquidity is poor. In the first experiment, the hypothesis of normal distribution of rate of return is given, and there is no sharp and thick tail of yield in real financial market. At the same time, after the Lagrange multiplier test, there is no volatility aggregation. In experiment 2, the addition of moving average investors slightly increased futures price volatility, fluctuating between 2020-2200, trading volume and liquidity. From the point of view of the characteristics of the yield curve, the addition of moving average investors makes the curve deviate from the normal distribution. Although the deviation is not high, we can still see the appearance of the peak and thick tail. At the same time, we also found the volatility cluster characteristics of price return. In experiment 3, momentum investor's addition made stock index futures price fluctuate sharply and turnover increased. The yield curve began to deviate from the normal distribution obviously, forming the typical peak and thick tail characteristics, and the characteristic of fluctuation cluster also appeared obviously. From this we can conclude that trend investors are the important reasons for the characteristics of the peak and the volatility cluster in the financial market.
【學位授予單位】：天津大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F224;F830.91

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