是否应提高高价股的最小报价单位?——基于人工股票市场的实验研究  

Should tick size of high price stock be increased? An experimental study in an artificial stock market

作　　者：焦贺英[1] 刘善存[1] 成微[1] 

机构地区：[1]北京航空航天大学经济管理学院,北京100191

出　　处：《系统工程理论与实践》2011年第12期2252-2263,共12页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金(71071010)

摘　　要：采用人工股市模拟的方式探讨了不同价位股票最小报价单位变动对市场质量的影响.首先,以中国股市实际交易机制和交易行为作为输入变量,构造了基于改进的混合策略三因素预期模型、前景理论价值函数与风险偏好和交易意愿更新机制的有限理性agent模拟股票市场.然后,分别对三种价位股票采用不同最小报价单位进行了重复仿真实验.实验结果表明:不同于相对低价股.如果提高相对高价股的最小报价单位,虽然不可避免地会使价差显著增大,但可在不显著增加波动性的同时.使市场深度、交易量和市场效率都得到明显改善,从而显著提高了市场质量.因而,建议中国股市应当根据股价水平而灵活采取不同的最小报价单位.即针对高价股适当提高最小报价单位.This paper analyzed the effect of tick size change at different stock price levels on market quality by simulation. First, we built an artificial stock market within parameters of actual trade mechanism and trade behavior. In order to imitate bounded rationality of investors and heterogeneousness of transaction motive： we improved the three factors expectation model of mixed trade strategy, and designed the value function of traders based on the Prospect Theory, as well as the update model of risk prcference and transaction willingness depending on previous trade performance. Then, repetitive simulation experiment s on different tick size of three various stock price levels were executed. The result shows that unlike relatively low price stock, tick size increase for high price stock can enhance market quality notably, which is shown as significant enlargement of trade volume and inarket efficiency, in spite of spread increasemcnt. Thus we suggest that flexible tick size according to stock price should be adopted in Chinese stock market, which means an appropriate increase of tick size for high price stock.

关 键 词：最小报价单位 计算金融 市场质量 

分 类 号：F830.9[经济管理—金融学]