【作者】 王黎明；

【导师】 朱洪亮；

【作者基本信息】 南京大学 ， 工业工程（专业学位）， 2020， 硕士

【摘要】 本文在高频交易迅速发展的时代背景下,利用仿真模拟的方法研究高频交易对于市场稳定性的影响。本文通过构建一般性的指令驱动股票市场,利用仿真模拟数据分析高频交易对于市场稳定性的影响。本文采用计算实验金融的方法模拟股票市场的运行,建立低频交易投资者和高频交易投资者的行为模型,在模型的基础上设计指令驱动的交易机制。通过MATLAB软件模拟股票市场运行并得到市场微观结构数据,根据市场微观结构数据分析高频交易的影响。本文通过设置模型中的参数模拟出人工股票市场,首先分析产生的数据是否符合金融市场的主要特征,其次对模型进行稳健性检验,利用得到的数据分析高频交易者对市场稳定性的影响。本文研究发现,高频交易者对市场稳定性有着消极的影响,包括市场的价格发现、波动性和闪崩等方面。除此之外,本文还考虑了交易税环境下高频交易对市场稳定性的影响,研究发现在交易税环境下的高频交易在闪崩事件中起着消极的作用。更多还原

【Abstract】 Under the background of the rapid development of high-frequency trading,this paper studies the impact of high-frequency trading on market stability by simulation.This paper analyzes the influence of high-frequency trading on the stability of the stock market by constructing an order-driven general stock market and using simulation data.We use the method of agent-based computational finance to simulate the operation of the stock market.In this paper,the artificial stock market is simulated by setting the parameters in the model.Firstly,we analyze whether the data generated conforms to the styled facts of the financial market.Secondly,we test the robustness of the model and use the data generated to analyze the impact of high-frequency traders on the market stability.This paper finds that high-frequency traders have a negative impact on market stability,including price discovery,volatility and flash crash.In addition,this paper also considers the impact of high-frequency trading on market stability in the trading tax environment,and finds that high-frequency trading in the trading tax environment plays a negative role in the flash crash.更多还原