股票市场风险成因及传染：基于多主体仿真研究.pdfVIP

Vol No Journal of Dalian University of Technology Social Sciences Jul F A X Risk and Its Contagion in Stock Market Based on MultiAgent Simulation WU Songtao HE Jianmin School of Economics and Management Southeast University Nanj ing 211189 China Abstract M arket risk is one of the basic risks in the stock market A simulation method has been adopted to study f ormation mechanism evolution path and contagion channels of the risk f rom a perspective of individual investors due to inaccessibility of investors sychology and trade data According to principles of complex a p daptive sy stem an artificial stock market w as constructed containing tw o ty pes of stocks and a risk f ree asset in w hich investors submitted orders based on the ex pected price and the orders w ere matched and cleared by continuous double auction mechanism By adding dy namic mechanism s imitation entering or ex iting market and abundant or shortage of capital one by one the causalities of the market risk w ere studied T he study has show n that f luctuation of more risky stock w as ex panded significantly by imitation that lager population and more capitals of investors do not cause accumulation of market risk necessarily if the intrinsic value ex pectation of stocks w as not changed and that the exiting investors w ho hold the stock portf olio are an important channel of risk contagion betw een stocks in that portf olio Key words artificial stock market cause of risk risk contagion multiagent based simulation