An agent-based computational model for China's stock market and stock index futures market

Hai-Chuan Xu, Wei Zhang, Xiong Xiong and Wei-Xing Zhou
Additional contact information
Hai-Chuan Xu: TJU
Wei Zhang: TJU
Xiong Xiong: TJU

Papers from arXiv.org

Abstract: 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 futures 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.

Date: 2014-03
New Economics Papers: this item is included in nep-cmp, nep-fmk, nep-mst, nep-rmg and nep-tra
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Citations: View citations in EconPapers (1)

Published in Mathematical Problems in Engineering 2014, 563912 (2014)

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Journal Article: An Agent-Based Computational Model for China’s Stock Market and Stock Index Futures Market (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1404.1052

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