An Agent-Based Computational Model for China’s Stock Market and Stock Index Futures Market

An Agent-Based Computational Model for China’s Stock Market and Stock Index Futures Market

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 in...

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Main Authors: Hai-Chuan Xu, Wei Zhang, Xiong Xiong, Wei-Xing Zhou
Format: Article
Language:English
Published: Hindawi Limited 2014-01-01
Series:Mathematical Problems in Engineering
Online Access:http://dx.doi.org/10.1155/2014/563912
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spelling doaj-1e687f88f1fe490b8ef31771f56672d52020-11-25T01:00:58ZengHindawi LimitedMathematical Problems in Engineering1024-123X1563-51472014-01-01201410.1155/2014/563912563912An Agent-Based Computational Model for China’s Stock Market and Stock Index Futures MarketHai-Chuan Xu0Wei Zhang1Xiong Xiong2Wei-Xing Zhou3College of Management and Economics, Tianjin University, Tianjin 300072, ChinaCollege of Management and Economics, Tianjin University, Tianjin 300072, ChinaCollege of Management and Economics, Tianjin University, Tianjin 300072, ChinaSchool of Business, East China University of Science and Technology, Shanghai 200237, ChinaThis 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.http://dx.doi.org/10.1155/2014/563912
collection DOAJ
language English
format Article
sources DOAJ
author Hai-Chuan Xu
Wei Zhang
Xiong Xiong
Wei-Xing Zhou
spellingShingle Hai-Chuan Xu
Wei Zhang
Xiong Xiong
Wei-Xing Zhou
An Agent-Based Computational Model for China’s Stock Market and Stock Index Futures Market
Mathematical Problems in Engineering
author_facet Hai-Chuan Xu
Wei Zhang
Xiong Xiong
Wei-Xing Zhou
author_sort Hai-Chuan Xu
title An Agent-Based Computational Model for China’s Stock Market and Stock Index Futures Market
title_short An Agent-Based Computational Model for China’s Stock Market and Stock Index Futures Market
title_full An Agent-Based Computational Model for China’s Stock Market and Stock Index Futures Market
title_fullStr An Agent-Based Computational Model for China’s Stock Market and Stock Index Futures Market
title_full_unstemmed An Agent-Based Computational Model for China’s Stock Market and Stock Index Futures Market
title_sort agent-based computational model for china’s stock market and stock index futures market
publisher Hindawi Limited
series Mathematical Problems in Engineering
issn 1024-123X
1563-5147
publishDate 2014-01-01
description 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.
url http://dx.doi.org/10.1155/2014/563912
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