基于人工股票市场分析持有期对投资者收益的影响  

Artificial Stock Market in the study of the Relationship between Holding Period and Return

作　　者：宋逢明[1] 林森[1] 李超[2] 

机构地区：[1]清华大学经济管理学院,北京100084 [2]中国建设银行北京分行,北京100053

出　　处：《运筹与管理》2008年第1期88-93,共6页Operations Research and Management Science

摘　　要：基于对中国股票市场的连续竞价交易机制和投资者构成特征的分析,本文构建了一个向上增长的人工模拟订单驱动股票市场模型,其中投资者的持有期会受到股票价格波动的影响,并能够反映投资者的投资策略。模型能够得出一系列与实际股票市场一致的典型事实,如收益率分布的胖尾特征以及波动率的聚集等。本文通过模拟研究,分析了持有期对投资者收益的影响,结果表明,长期持有的投资者在向上增长的市场中可获得较高的平均收益。Based on the specification of the trading mechanism of China Stock Market and the characteristics of the investors, the paper constructs an upward artificial stock market, where the investors＇ expected holding periods are influenced by the volatility of the stock price and also reflect the investors＇ strategy. The model reproduces a lot of stylized facts of the real stock market, such as fat tails and volatility clustering. Further more, the paper also analyses the profitability of different holding periods, and the result shows that the investors with longer holding periods can gain more profit in average.

关 键 词：人工股票市场 订单驱动 微模拟 持有期 

分 类 号：F830.91[经济管理—金融学]