【作者】 宋华荣；

【导师】 詹文杰；

【作者基本信息】 华中科技大学 ， 管理科学与工程， 2009， 硕士

【摘要】 连续竞价（又称连续双向拍卖）和集合竞价是世界大多数国家金融证券市场中普遍采用的交易机制。长期以来，人们对股票市场价格行为的研究，一直将股票交易过程视为一个“黑盒”，即当相关信息输入后，就会自动产生一个有效的定价，市场则根据这一价格为导向实现资本的最优配置。但是，近年来随着实验经济学和金融市场微观结构理论的兴起，人们正试图打开这一“黑盒”，研究交易者的交易行为对市场价格行为的影响。交易策略决定交易者行为，交易者选取的交易策略不同，对价格行为的影响肯定不同，本文通过选取几种典型的交易策略来研究这一问题。本文运用计算机仿真的方法，在模拟的连续双向拍卖市场中研究交易策略对价格行为的影响。我们选取了连续双向拍卖市场中两种具有代表性的交易策略为研究对象，即有约束“零信息”交易策略（ZI-C）和增强“零信息”交易策略（ZIP）。首先，分别研究了纯ZI-C策略和纯ZIP策略下，价格行为的统计特征和时间序列特征差异；然后，选取不同比例的ZI-C交易策略和ZIP交易策略进行仿真实验，研究发现：当采取某种策略的比例较大时，价格行为特征则更接近所有交易者均采取该策略时的价格行为特征。因此，得出交易行为决定了价格行为的结论。由于连续双向拍卖市场是现代金融交易所的最重要的交易机制，本文所做的工作对研究金融市场的价格行为有一定的意义。更多还原

【Abstract】 Continuous Double Auction and Call Market are the trading mecha nisms that thefina ncia l markets of most nations adapt. Ever since a long time ago，we study the tradingprocess of stock trading as a black box which yields an effectual price if some informationis input, when we research the price behavior of stock market, and after that the marketmake the capital alloca tion optima l. As the experimental economics and MicrostructureTheory develop, the scholars are trying to open the black box by the research about theaffection of trading behavior to price behavior in the double auction market. Price strategyis an important part of trading behavior，different strategy has different affection. Thispassage selects severa l typica l trading strategies to study this problem.In a computerized continuous double auction CDA market with Zero-intelligence withconstraint ZI-C agents and Zero-intelligence plus ZIP agents, this paper studies the pricebehavior of the CDA market with homogenous ZI-C agents, homogenous ZIP agents, andheterogeneous agents of the two. Regular patterns of price behaviors with the twohomogenous agents are provided by time series analysis and statistic analysis. Thetransformation pattern of price behavior is analyzed with different percent ofheterogeneous agents of the two. It is that when there are more agents applying the samestrategy, the price behavior gets closer to the pattern with that homogenous strategy. Forthe reason that the CDA is the premier market format in most modern fina ncia l excha nges,the find ing is useful to study the price behavior in the fina nce market.更多还原