基于多Agent的股市涨跌幅限制方法仿真研究-管理科学与工程专业论文.docxVIP

基于多 Agent 的股市涨跌幅限制方法仿真研究 MULTI-AGENT SIMULATION STUDY OF THE EFFECT OF PRICE LIMIT METHOD IN ARTIFICIALSTOCK MARKET ABSTRACT Because development of world economy and financial mechanism, many contradictions exist in the finance market. Stock market developing on this basement is immature. Thereinto, the most prominent feature for the stock price fluctuation is violent and frequent. In the theory of microstructure of stock market, the effect of market trading mechanism is keeping the market’s liquidity, validity and stability. Stock markets in the world, especially the newly stock markets are more and more concerning the effects of market trading mechanism. Many country designs different methods to help stabilize stock price’s volatility and keep the market’s liquidity, validity and stability. Price limit is used universally by stock market all over the world. From the views of market trading mechanism, the price limit can restrict the over-reaction, reduce economic froth and avoid stock market crash. But, according to the station of stock markets using price limits all over the world and the study about price limit in our country and aboard. The effect of price limit is oppugned, validated and optimized. There is no unify idea in theory or practice from it is used. We use event study method to test three hypotheses: volatility spillover hypothesis, delayed price discovery hypothesis and trading interference hypothesis. For the different price limit and market scale, the stock price is up or down, the effects of price limits of stock market is different. The study show that up-price limit causes to volatility spillover, delayed price discovery and trading interference because of price limit. By contrary, there is no the three phenomena in the down-price limit. Then, connect with the price limits policy in the stock markets and the conclusion of empirical study, We propose some useful policy for the development of stock market, and hope price limit can better the pr