最小报价单位对市场流动性影响的计算实验研究  

Impact of Tick Size on Market Liquidity by Agent-based Modeling Approach

作　　者：李悦雷[1] 张维[1] 熊熊[1] 

机构地区：[1]天津大学管理与经济学部,天津300072

出　　处：《管理科学》2012年第1期92-98,共7页Journal of Management Science

基　　金：国家自然科学基金(71071109;71131007)~~

摘　　要：采用计算实验的研究方法,对不同最小报价单位设置下的市场流动性进行研究,在LZ3X连续双向拍卖人工股票市场平台(具有与中国股票市场相类似的连续双向拍卖结构特征)上,设计9组不同最小报价单位设置下的可控实验,分别考察最小报价单位变化对市场流动性的影响规律。通过对实验数据的分析发现,随着最小报价单位的减小,买卖价差减小,同时市场深度也有减小的特征,这与实证研究的结论一致。在此基础上,为了进一步确定最小报价单位对市场流动性的影响,应用Martin指数和Glosten-Harris模型对不同最小报价单位设置下的市场流动性进行测度,发现其测度参数均同方向地随着最小报价单位的减小而减小,从而说明最小报价单位的减小能够明显提高市场流动性,并且最小报价单位在[0.01,0.30]范围内此规律保持不变。This research focuses the impact on the market liquidity with different tick size levels,based on the method of agent-based computational finance.Using LZ3X continuous double auction artificial stock market computational platform,which is similar to China′s stock market,we designed 9 different controllable experiments with different tick size setting to investigate the impact of size tick on market liquidity.Results of data analysis indicats that the bid-ask spread and market depth would be decreased by smaller the tick size,which coincides with the empirical results.Furthermore,the Martin index and the fitted parameters in the Glosten-Harris model would change in the same way with the tick size adjusting.So it concludes that,decrease the tick size can improve the market liquidity significantly,and even in the range of [0.01,0.30] this pattern keeps steady.

关 键 词：最小报价单位 市场流动性 计算实验金融 连续双向拍卖 

分 类 号：F830.91[经济管理—金融学]