CAJ | 학술논문

在SFI-ASM模型的基础上,按照学习速度和风险偏好程度构建了异质agent股票市场模型,引入了随机交易者以及随机交易者信心变量等。交易者的异质化使得股票市场脱离了原先的预期均衡市场的理性状态,市场的波动性变大,收益率的分布也更趋向现实市场。在上述模型的基础上,引入期权交易市场,试验结果表明,期权交易会为股票市场带来更大的波动,不同的期权交易策略和不同类型的投资者对股票市场的影响也明显不同。
재SFI-ASM모형적기출상,안조학습속도화풍험편호정도구건료이질agent고표시장모형,인입료수궤교역자이급수궤교역자신심변량등。교역자적이질화사득고표시장탈리료원선적예기균형시장적이성상태,시장적파동성변대,수익솔적분포야경추향현실시장。재상술모형적기출상,인입기권교역시장,시험결과표명,기권교역회위고표시장대래경대적파동,불동적기권교역책략화불동류형적투자자대고표시장적영향야명현불동。
The volatility impact of stock option on the underlying stock market is a hot issue in the financial area. Some researchers find that the introduction of options has a positive effect on the underlying stock markets,and the introduction of options could improve financial market completeness because they can expand the range of choices available to investors. In addition,these researchers think that options trading could reduce the volatility of the underlying stocks. In contrast,some other researchers think that options could destabilize the underlying market and lead to an increase stock price volatility. In addition to these two viewpoints,many other researchers claim that the introduction of options cannot directly affect the underlying market.This paper tries to address the question from the perspective of agent-based computational finance. The model used in this paper consists of two parts： stock trade module,and stock option trade module. A complete stock option market can be constructed with these two modules. The first module is based on SFI-ASM and has been improved for research purpose. The second module is new option module,consisting of European call option and European put option. The module allows agents to trade simultaneously with each other.A real mechanism of option trading is also introduced and the option prices are decided by supply-demand balance of option market.Heterogeneous agents are introduced in order to better understand the real stock market. In the stock trade module,stock traders are divided into technical trader,value trader,and random trader according to learning speed. In contrast,stock traders are divided into risk aversion trader and risk preference trader according to the extent of risk preference. In the option trade module,the option traders are divided into three types of option trading strategy： random option trader,speculation option trader,and hedge option trader.Random option trader represents the noise trader in the real market. A noise trader makes irrational and erratic decisions to buy,sell,or hold options. Hedge option traders are agents who want to cover stock options through holding option contracts. Speculation option traders are entirely the opposite of hedge option trader. These agents hold option contracts for speculative trades so that they can earn additional profit. Nevertheless,they will also face more serious risks when stock price fluctuates. Compared with hedge option trader,the speculation option trader is relatively irrational.The results show that in the stock market the introduction of heterogeneous agents can ensure that the stock market meets the original rational expectation equilibrium. As market volatility becomes higher,the return distribution has more obvious fat tails or excess kurtosis,which is closer to real financial markets. The performance of different types of stock traders is different,and the effect of random trader on the stock market is the biggest. Compared with other types of stock traders,random traders with risk preference are easier to go bankrupt. The effect of trader confidence on stock market is researched by using the above model. The results show that the overconfidence of random trader can increase the volatility of stock markets.The introduction of stock option trade increases a stock market＇s volatility. According to our model,stock traders need to consider the information of the stock option market when they trade stocks,and the increase of information can increase stock market＇s volatility.Among three types of option trading strategy,the effect of speculation option trading strategy on the market volatility is the biggest. The second biggest one is hedge option trading strategy. The smallest is the effect of random option trading strategy on market volatility.From the perspective of different types of stock traders,the random stock traders are most sensitive to stock option trading,and the effect of their different types of option trading strategies on the stock market is the biggest.