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An Agent-Based Computational Model for China’s Stock Market and Stock Index Futures Market
Joint Authors
Xu, Hai-Chuan
Zhang, Wei
Zhou, Wei-Xing
Xiong, Xiong
Source
Mathematical Problems in Engineering
Issue
Vol. 2014, Issue 2014 (31 Dec. 2014), pp.1-10, 10 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2014-04-17
Country of Publication
Egypt
No. of Pages
10
Main Subjects
Abstract EN
This study presents an agent-based computational cross market model for Chinese equity market structure, which includes both stocks and CSI 300 index futures.
In this model, we design several stocks and one index future to simulate this structure.
This model allows heterogeneous investors to make investment decisions with restrictions including wealth, market trading mechanism, and risk management.
Investors’ demands and order submissions are endogenously determined.
Our model successfully reproduces several key features of the Chinese financial markets including spot-futures basis distribution, bid-ask spread distribution, volatility clustering, and long memory in absolute returns.
Our model can be applied in cross market risk control, market mechanism design, and arbitrage strategies analysis.
American Psychological Association (APA)
Xu, Hai-Chuan& Zhang, Wei& Xiong, Xiong& Zhou, Wei-Xing. 2014. An Agent-Based Computational Model for China’s Stock Market and Stock Index Futures Market. Mathematical Problems in Engineering،Vol. 2014, no. 2014, pp.1-10.
https://search.emarefa.net/detail/BIM-481087
Modern Language Association (MLA)
Xu, Hai-Chuan…[et al.]. An Agent-Based Computational Model for China’s Stock Market and Stock Index Futures Market. Mathematical Problems in Engineering No. 2014 (2014), pp.1-10.
https://search.emarefa.net/detail/BIM-481087
American Medical Association (AMA)
Xu, Hai-Chuan& Zhang, Wei& Xiong, Xiong& Zhou, Wei-Xing. An Agent-Based Computational Model for China’s Stock Market and Stock Index Futures Market. Mathematical Problems in Engineering. 2014. Vol. 2014, no. 2014, pp.1-10.
https://search.emarefa.net/detail/BIM-481087
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-481087