Study on Market Stability and Price Limit of Chinese Stock Index Futures Market: An Agent-Based Modeling Perspective
Authored by Xiong Xiong, Nan Ding, Yang Yang, Yongjie Zhang
Date Published: 2015
DOI: 10.1371/journal.pone.0141605
Sponsors:
Ministry of Education in China
National Science Fund of China
Platforms:
No platforms listed
Model Documentation:
Other Narrative
Mathematical description
Model Code URLs:
Model code not found
Abstract
This paper explores a method of managing the risk of the stock index
futures market and the cross-market through analyzing the effectiveness
of price limits on the Chinese Stock Index 300 futures market. We adopt
a cross-market artificial financial market (include the stock market and
the stock index futures market) as a platform on which to simulate the
operation of the CSI 300 futures market by changing the settings of
price limits. After comparing the market stability under different price
limits by appropriate liquidity and volatility indicators, we find that
enhancing price limits or removing price limits both play a negative
impact on market stability. In contrast, a positive impact exists on
market stability if the existing price limit is maintained (increase of
limit by10\%, down by 10\%) or it is broadened to a proper extent. Our
study provides reasonable advice for a price limit setting and risk
management for CSI 300 futures.
Tags
exchange
Volatility
Resolution