Simulation study on short sales mechanism based on agent in China market

doi:10.3778/j.issn.1002-8331.2008.21.066

Computer Engineering and Applications ›› 2008, Vol. 44 ›› Issue (21): 241-244.DOI: 10.3778/j.issn.1002-8331.2008.21.066

• 工程与应用 • Previous Articles Next Articles

Simulation study on short sales mechanism based on agent in China market

TIAN Feng^1,2,LI Xia²,LI Jian-shi¹

1.College of Computer Science and Technology，Guizhou University，Guiyang 550025，China
2.College of Economics，Guizhou University，Guiyang 550025，China

Received:2008-03-14 Revised:2008-05-16 Online:2008-07-21 Published:2008-07-21
Contact: TIAN Feng

基于Agent的我国股票市场卖空机制仿真研究

田丰^1,2,李侠²,李坚石¹

1.贵州大学计算机科学与技术学院，贵阳 550025
2.贵州大学经济学院，贵阳 550025

通讯作者: 田丰

Abstract

Abstract: Owing to the unavailable short sale，there is a restraint shortcoming in China stock market.By using the thought and the method of the Complex Adaptive System and utilizing the Swarm platform，a computed model based on the agent is set up.The designed model is driven by “the trading events”.Given the rational and non-rational behavior rules，the agent establishes a biased or unbiased anticipated trading strategy by the related data analysis.The trading strategy will cause the changes of the asset price and the trading volume which can be used to analyze the influence of short sales mechanism to the stock market.The simulation result indicates the short sales can reduce the price risk and increase the fluidity of the market.Both of these can change the property structure of the stock market and bring positive influences.The short sales can offer a hedge risk tools for the investors and the market.

Key words: stock market, complex adaptive system, short sales, simulation

摘要： 针对我国股市现有的卖空约束缺陷，用复杂适应系统的思想和方法分析股市的复杂性，运用Swarm平台，构建基于Agent的直接计算机模型。设定模型由“交易事件”驱动，给定Agent理性和非理性的行为规则，让Agent通过对有关数据分析后建立有偏预期或无偏预期的交易策略，从而导致资产价格和交易量的变化，以此分析引入卖空机制对股市的影响。仿真模拟表明，卖空机制可以把价格风险降低，增加市场的流动性，对改变股市的资产结构有积极影响，成为投资者和市场规避风险的工具。

关键词: 股市, 复杂适应系统, 卖空, 仿真

TIAN Feng^1,2,LI Xia²,LI Jian-shi¹. Simulation study on short sales mechanism based on agent in China market[J]. Computer Engineering and Applications, 2008, 44(21): 241-244.

田丰^1,2,李侠²,李坚石¹. 基于Agent的我国股票市场卖空机制仿真研究[J]. 计算机工程与应用, 2008, 44(21): 241-244.

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Simulation study on short sales mechanism based on agent in China market

基于Agent的我国股票市场卖空机制仿真研究

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