STUDY ON STABILIZATION OF AN ARTIFICIAL STOCK OPTION MARKET

摘要：

　　Although the stock option markets have appeared for several decades, the relation between an option and its underlying asset, especially bidirectional conduction is not particularly clear;so far, there are many debates about this.We try to investigate this problem from a novel angle: an artificial stock market including stock options is constructed in this paper.The model includes two parts, one is stock trade module based on SF-ASM;and the other is option trade one.And in the latter one, three types of option traders are employed.The results show that the effect of option market on stock market is remarkable;and the introduction of option can really stabilize the stock market.

关键词： Option Modelling Stability Agent-based

作者: Guiping Sun Shangmei Zhao Haijun Yang

作者单位: School of Economics and Management, Beihang University,Beijing 100191, China

会议类型: 国际会议

会议名称: The 11th International Conference on Industrial Management(第十一届工业管理国际会议)

会议地点: 日本

会议语种:英文

页码: 645-650

在线出版日期: 2012-08-29（万方平台首次上网日期，不代表论文的发表时间）