发帖
雷达卡
Title: | CROSS-MARKET FINANCIAL RISK ANALYSIS: AN AGENT-BASED COMPUTATIONAL FINANCE |
Author(s): | XIONG XIONG College of Management and Economics, Tianjin University, Tianjin 300072, China MEI WEN College of Management and Economics, Tianjin University, Tianjin 300072, China WEI ZHANG College of Management and Economics, Tianjin University, Tianjin 300072, China YONG JIE ZHANG Corresponding author. College of Management and Economics, Tianjin University, Tianjin 300072, China |
Abstract: | Using the method of agent-based computational finance, this paper designs ten experiments to examine the impacts of the index futures market, typical investment strategies, and different trading mechanisms on the volatility of the Chinese stock market, taking into account the behavior of investors. We have the following results. First, the volatility of the stock market decreases with the index future market and cross-market arbitrageurs. Second, different investment strategies have different effects on stock market volatility. In many cases, both market-imitating and stop-loss strategies can increase stock market volatility. Third, the mechanism of price limits for the index futures market can help to stabilize the fluctuation of the stock market. |
Keywords: | Agent-based computational finance; index futures; investment strategy; cross-market volatility; risk formation mechanism AMSC numbers: 22E46, 53C35, 57S20 |
http://www.worldscinet.com/ijitdm/10/1003/S0219622011004464.html
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