A Simulation Model of Stock Market

摘要：

　　This paper presents a simulation model of trading price and volume in Chinese stock market,which can form the sequences of the price and volume of stock by generating order flow with different trading direction randomly under the rules of market transactions.This model consists of four parts,i.e.prerequisite,generating mechanisms,matchmaking mechanism of the order,and design of trading price and trading volume.Empirical result shows that the model has the capacity to simulate the change in prices and volume of a stock,by comparing the generated analog data with the real one.

关键词： simulation model parametric analysis trading price trading volume yield

作者: LUO Qixuan AI Mingfang LI Handong

作者单位: School of Management,Beijing Normal University,BNU,Beijing,China

会议类型: 国际会议

会议名称: the 5th (2013)International Conference on Financial Risk and Corporate Finance Management(第五届(2013)金融风险与公司金融国际研讨会)

会议地点: 大连

会议语种:英文

页码: 45-49

在线出版日期: 2013-06-29（万方平台首次上网日期，不代表论文的发表时间）