CAJ | 학술논문

基于计算实验金融方法，建立指令驱动的人工股票市场模型，研究交易者构成不同的市场流动性、交易者策略、指令成交量和指令成交率以及市场波动性和交易量等宏观指标。结果表明，市场中耐心的交易者的比例增加有利于增加市场深度，而急躁的交易者数量的比例增加对于减少买卖价差、提高市场指令成交率和增加交易量具有一定的促进作用。
기우계산실험금융방법，건립지령구동적인공고표시장모형，연구교역자구성불동적시장류동성、교역자책략、지령성교량화지령성교솔이급시장파동성화교역량등굉관지표。결과표명，시장중내심적교역자적비례증가유리우증가시장심도，이급조적교역자수량적비례증가대우감소매매개차、제고시장지령성교솔화증가교역량구유일정적촉진작용。
This paper sets up an artifical order - driven market, based on agent - based computational finance. This paper studys trading strategy, market order book and market performance in markets with different composition of traders. The result shows that market depth increases with the proportion of patient traders increases, while mar- ket spread declines and the rate of market order execution and tient traders. trading volume increases with the proportion of impa-