滴答大小和市场质量:基于基于代理的人工股票市场的模拟

Q1 Economics, Econometrics and Finance

Intelligent Systems in Accounting, Finance and Management Pub Date : 2020-06-21 DOI:10.1002/isaf.1474

Xinhui Yang, Jie Zhang, Qing Ye

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引用次数: 4

摘要

本文基于一个基于智能体的人工股票市场，研究了最小点位大小对市场质量的影响。研究结果表明，与单一制度相比，分级制度和组合制度在某些方面能提高市场质量。最小组合系统对提高市场质量的效果最好。这是第一个分析仍处于理论阶段的蜱虫大小系统的研究，并在相同的实验环境下比较了四种类型的系统。研究结果表明，最小组合制度可以作为提高市场质量的市场政策改革的新方向。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Tick size and market quality: Simulations based on agent-based artificial stock markets

This paper investigates the way that minimum tick size affects market quality based on an agent-based artificial stock market. Our results indicate that stepwise and combination systems can promote market quality in certain aspects, compared with a uniform system. A minimal combination system performed the best to improve market quality. This is the first study to analyse tick size systems that remain at the theory stage and compare four types of system under the same experimental environment. The results suggests that a minimal combination system could be considered a new direction for market policy reform to improve market quality.

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来源期刊

Intelligent Systems in Accounting, Finance and Management Economics, Econometrics and Finance-Finance

CiteScore

6.00

自引率

0.00%

发文量

期刊介绍： Intelligent Systems in Accounting, Finance and Management is a quarterly international journal which publishes original, high quality material dealing with all aspects of intelligent systems as they relate to the fields of accounting, economics, finance, marketing and management. In addition, the journal also is concerned with related emerging technologies, including big data, business intelligence, social media and other technologies. It encourages the development of novel technologies, and the embedding of new and existing technologies into applications of real, practical value. Therefore, implementation issues are of as much concern as development issues. The journal is designed to appeal to academics in the intelligent systems, emerging technologies and business fields, as well as to advanced practitioners who wish to improve the effectiveness, efficiency, or economy of their working practices. A special feature of the journal is the use of two groups of reviewers, those who specialize in intelligent systems work, and also those who specialize in applications areas. Reviewers are asked to address issues of originality and actual or potential impact on research, teaching, or practice in the accounting, finance, or management fields. Authors working on conceptual developments or on laboratory-based explorations of data sets therefore need to address the issue of potential impact at some level in submissions to the journal.