An Agent-Based Computational Model for China's Stock Market and Stock Index Futures Market. (17th April 2014)

• Record Type: Journal Article
• Authors: Xu, Hai-Chuan; Zhang, Wei; Xiong, Xiong; Zhou, Wei-Xing
• Other Names: Gupta Pankaj Academic Editor.
• Is Part Of: Mathematical problems in engineering. Volume 2014(2014)
• Publication Date: 2014-04-17
• Subjects: Engineering mathematics -- Periodicals; 510.2462
• DOI: 10.1155/2014/563912
• Languages: English
• ISSNs: 1024-123X

Abstract

Abstract : This study presents an agent-based computational cross market model for Chinese equity market structure, which includes both stocks and CSI 300 index futures. In this model, we design several stocks and one index future to simulate this structure. This model allows heterogeneous investors to make investment decisions with restrictions including wealth, market trading mechanism, and risk management. Investors' demands and order submissions are endogenously determined. Our model successfully reproduces several key features of the Chinese financial markets including spot-futures basis distribution, bid-ask spread distribution, volatility clustering, and long memory in absolute returns. Our model can be applied in cross market risk control, market mechanism design, and arbitrage strategies analysis.