摘要
为研究止损交易对市场中交易者行为及资产价格的影响,基于多主体模型方法,构建了一个加入止损策略的多主体市场模型。模型模拟结果表明当市场中止损阈值被触及时,极易触发连续的止损交易,造成交易者之间的行为级联。这种交易级联会引致交易者行为的趋同性增强、市场中的买卖订单失衡、市场价格的异常崩跌和流动性黑洞。
In order to study the impact of stop-loss trading on traders′behavior and asset prices in the market,this paper constructs a multi-agent market model with stop-loss strategy based on the method of agent-based computational finance.The model simulation results show that when the stop-loss threshold is touched in the market,it is easy to trigger continuous stop-loss trading,resulting in a behavioral cascade between traders.This kind of transaction cascading leads to an increase in the convergence of trader behavior,an imbalance between sell orders and buy orders in the market,an abnormal collapse in market prices and a liquidity black hole.
作者
张松明
李红刚
ZHANG Songming;LI Honggang(School of Systems Science,Beijing Normal University,Beijing 100875,China)
出处
《复杂系统与复杂性科学》
CAS
CSCD
北大核心
2021年第2期21-28,共8页
Complex Systems and Complexity Science
基金
国家自然科学基金项目(71671017)。
关键词
止损策略
多主体建模
行为级联
计算实验金融
stop-loss strategy
multi-agent modeling
behavior cascading
agent-based computational finance
