基于信息传导的期权对股票市场稳定性影响  

Stabilization effect of option market on stock market based on information conduction

作　　者：赵尚梅[1] 孙桂平[1,2] 杨海军 

机构地区：[1]北京航空航天大学经济管理学院,北京100191 [2]上海国际集团博士后工作站,上海200041

出　　处：《管理科学学报》2015年第6期84-94,共11页Journal of Management Sciences in China

基　　金：国家自然科学基金资助项目(71171010;70973007;71373017);教育部人文社科基金资助项目(09YJA630006);上海市博士后科研资助计划资助项目(14R21421400)

摘　　要：通过计算金融的方法构造了引入期权交易的人工股票市场模型,构建了包含衍生品交易的相对完整的金融市场.模型在期权交易模块中引入了不同类型的期权交易者,使用基于多主体的撮合交易机制来完成期权定价,并基于信息传导建立股票市场和期权市场之间的双向联系.实验结果表明期权的引入导致股票市场的波动性增强,股票收益率尖峰厚尾现象有所降低,但波动性聚集增强.此外期权市场的信息量和期权交易者类型也会对股票市场产生显著影响.Using methodologies in computational finance,this paper constructs an artificial stock market including stock options,forms a relative complete financial market including derivative trading. In the option trading module,different types of option traders are employed; multi-agent matchmaking tradeoff model is introduced in option pricing,based on information conduction between option market and stock market. The experiment results show that after the options being introduced,the volatility of the stock market increases,the strength of high peak and fat tail decreases,and the persistence of volatility of stock return strengthens. The amount of information of option market and the proportion of different types of option traders also have significant impact on the stock market.

关 键 词：人工股票期权市场 稳定性 信息传导 

分 类 号：F832.51[经济管理—金融学]