本文選題：金融市場 + 計算實驗金融學(xué)��； 參考：《天津大學(xué)》2014年碩士論文

【摘要】：停牌是為了加強信息披露、抑制股票的異常波動、緩解訂單極度不平衡的情況保證證券交易有序進(jìn)行而設(shè)立的一個重要的市場穩(wěn)定機(jī)制，并廣泛應(yīng)用于全球主要證券市場。但停牌是否真的能穩(wěn)定市場，其作用是具爭議的。為了研究中國股票市場停牌機(jī)制的實施效果，本文采用極端事件統(tǒng)計分析方法進(jìn)行實證研究以及應(yīng)用計算實驗金融的創(chuàng)新性的研究方法對停牌機(jī)制進(jìn)行仿真模擬檢驗其有效性，對停牌有效性研究領(lǐng)域進(jìn)行補充和創(chuàng)新。 首先實證部分本文使用滬深300指數(shù)成分股中的深市股票從2009年8月到2011年8月的停復(fù)牌數(shù)據(jù)和高頻交易數(shù)據(jù)，創(chuàng)新性地運用統(tǒng)計物理學(xué)中極端事件的統(tǒng)計分析技術(shù)動態(tài)展現(xiàn)停牌事件引起的市場價格變化和市場波動率演化過程，并將停牌分為正負(fù)事件分別研究，實證分析了中國股票市場停牌制度的實施效果，檢驗其有效性。實證結(jié)果顯示正負(fù)停牌事件的累積收益率在停牌前一直持續(xù)增長或下降，而停牌后都趨于一個穩(wěn)定值，停牌抑制了價格的持續(xù)增長或下降，起到了反轉(zhuǎn)和回歸的效果，表明停牌具有一定的價格發(fā)現(xiàn)作用。而停牌實施前后，絕對收益率出現(xiàn)了尖峰和尖峰后衰退的變化趨勢，在復(fù)牌時刻達(dá)到波動最大值，之后逐漸衰退至非停牌日同期水平，衰退過程具有顯著的冪律衰減性。結(jié)果表明停牌并未降低價格波動反而導(dǎo)致增加，停牌制度的實施并沒有實現(xiàn)穩(wěn)定市場的既定目標(biāo)。 為了研究停牌導(dǎo)致價格波動出現(xiàn)如此變化模式的原因，本文接著從訂單簿不平衡角度出發(fā)，將清除訂單簿作為停牌機(jī)制，利用計算實驗金融的方法模擬市場運行，研究是否是訂單簿不平衡導(dǎo)致的市場變化。在mason平臺上加入停牌機(jī)制作為停牌仿真平臺，并采用實證研究中的極端事件統(tǒng)計分析方法對仿真數(shù)據(jù)進(jìn)行分析。結(jié)果顯示仿真結(jié)果與實證結(jié)果一致，停牌的確導(dǎo)致市場波動變大，，價格波動呈現(xiàn)尖峰衰退模式，衰退過程也具有冪律衰減性。計算實驗較好地模擬出了停牌機(jī)制下的市場的真實動態(tài)，為此本文用計算實驗解釋實證中停牌導(dǎo)致市場發(fā)生如此變化的原因，認(rèn)為是訂單極度不平衡導(dǎo)致的停牌后價格變化出現(xiàn)尖峰以及冪率衰減的模式。
[Abstract]:The suspension of trading is an important market stability mechanism which is established to strengthen information disclosure, restrain the abnormal fluctuation of stock, alleviate the extreme imbalance of orders and ensure the orderly conduct of securities trading, and is widely used in the major securities markets in the world. But whether suspension really stabilizes the market, its role is controversial. In order to study the effect of the suspension mechanism in Chinese stock market, this paper uses the extreme event statistical analysis method to carry on the empirical research, and uses the innovative research method of computational experimental finance to carry on the simulation simulation to the suspension mechanism to verify its validity. To the suspension validity research area carries on the supplement and the innovation. First of all, the empirical part of this paper uses the Shenzhen Stock Exchange Stock Exchange data from August 2009 to August 2011 and high-frequency trading data. Innovatively using the statistical analysis technology of extreme events in statistical physics to dynamically show the market price change and market volatility evolution process caused by the suspension event, and divide the suspension into positive and negative events, respectively. This paper empirically analyzes the effect of the suspension system in China's stock market and tests its effectiveness. The empirical results show that the cumulative yield of positive and negative suspensions continues to increase or decrease before the suspension, but after the suspension tends to a stable value, the suspension inhibits the continuous growth or decline of prices, and has the effect of reverse and regression. It shows that the suspension has a certain price discovery function. Before and after the suspension of trading, the absolute rate of return appeared the trend of peak and post-peak recession, reached the maximum fluctuation at the time of resumption, then gradually declined to the level of the same period of the non-suspension day, the decline process has significant power law attenuation. The results show that the suspension does not reduce the price fluctuation but leads to an increase, and the implementation of the suspension system does not achieve the established goal of stabilizing the market. In order to study the reason of the price fluctuation caused by the suspension, this paper starts from the imbalance of the order book, takes the order book as the suspension mechanism, and simulates the operation of the market by the method of calculating the experimental finance. Study whether the market changes caused by the imbalance in the order book. The suspension mechanism is added to the mason platform as the simulation platform, and the statistical analysis method of extreme events in the empirical research is used to analyze the simulation data. The results show that the simulation results are consistent with the empirical results. The suspension of trading does cause the market volatility to become larger, the price fluctuations show a peak recession mode, and the decline process has power law attenuation. The calculation experiment simulates the real market dynamics under the suspension mechanism. Therefore, this paper uses the calculation experiment to explain the reason why the market changes so in the case of suspensions. It is considered to be the mode of peak price change and power rate attenuation after the suspension caused by the extreme imbalance of orders.
【學(xué)位授予單位】：天津大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F832.51

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本文編號：1810349