股票期权对股票市场的波动性分析:基于agent的计算实验金融仿真角度  

The Volatility of Stock Market Influenced by Stock Option from the Angle of Agent-based Computational Finance

作　　者：赵尚梅[1] 孙桂平[1] 杨海军[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：《管理工程学报》2015年第1期207-215,共9页Journal of Industrial Engineering and Engineering Management

基　　金：国家自然科学基金资助项目(71171010;70973007);教育部人文社会科学研究资助项目(09YJA630006)

摘　　要：在SFI-ASM模型的基础上,按照学习速度和风险偏好程度构建了异质agent股票市场模型,引入了随机交易者以及随机交易者信心变量等。交易者的异质化使得股票市场脱离了原先的预期均衡市场的理性状态,市场的波动性变大,收益率的分布也更趋向现实市场。在上述模型的基础上,引入期权交易市场,试验结果表明,期权交易会为股票市场带来更大的波动,不同的期权交易策略和不同类型的投资者对股票市场的影响也明显不同。The volatility impact of stock option on the underlying stock market is a hot issue in the financial area. Some researchers find that the introduction of options has a positive effect on the underlying stock markets,and the introduction of options could improve financial market completeness because they can expand the range of choices available to investors. In addition,these researchers think that options trading could reduce the volatility of the underlying stocks. In contrast,some other researchers think that options could destabilize the underlying market and lead to an increase stock price volatility. In addition to these two viewpoints,many other researchers claim that the introduction of options cannot directly affect the underlying market.This paper tries to address the question from the perspective of agent-based computational finance. The model used in this paper consists of two parts： stock trade module,and stock option trade module. A complete stock option market can be constructed with these two modules. The first module is based on SFI-ASM and has been improved for research purpose. The second module is new option module,consisting of European call option and European put option. The module allows agents to trade simultaneously with each other.A real mechanism of option trading is also introduced and the option prices are decided by supply-demand balance of option market.Heterogeneous agents are introduced in order to better understand the real stock market. In the stock trade module,stock traders are divided into technical trader,value trader,and random trader according to learning speed. In contrast,stock traders are divided into risk aversion trader and risk preference trader according to the extent of risk preference. In the option trade module,the option traders are divided into three types of option trading strategy： random option trader,speculation option trader,and hedge option trader.Random option trader represents the noise trader in the real market. A noise trader makes irrational and

关 键 词：异质agent 计算金融 股票期权 波动性 

分 类 号：F830[经济管理—金融学]