Table of Contents Author Guidelines Submit a Manuscript
Mathematical Problems in Engineering
Volume 2014 (2014), Article ID 563912, 10 pages
http://dx.doi.org/10.1155/2014/563912
Research Article

An Agent-Based Computational Model for China’s Stock Market and Stock Index Futures Market

1College of Management and Economics, Tianjin University, Tianjin 300072, China
2China Center for Social Computing and Analytics, Tianjin University, Tianjin 300072, China
3School of Business, East China University of Science and Technology, Shanghai 200237, China
4Department of Mathematics, East China University of Science and Technology, Shanghai 200237, China
5Research Center for Econophysics, East China University of Science and Technology, Shanghai 200237, China

Received 17 February 2014; Revised 25 March 2014; Accepted 6 April 2014; Published 17 April 2014

Academic Editor: Pankaj Gupta

Copyright © 2014 Hai-Chuan Xu et al. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

Abstract

This study presents an agent-based computational cross market model for Chinese equity market structure, which includes both stocks and CSI 300 index futures. In this model, we design several stocks and one index future to simulate this structure. This model allows heterogeneous investors to make investment decisions with restrictions including wealth, market trading mechanism, and risk management. Investors’ demands and order submissions are endogenously determined. Our model successfully reproduces several key features of the Chinese financial markets including spot-futures basis distribution, bid-ask spread distribution, volatility clustering, and long memory in absolute returns. Our model can be applied in cross market risk control, market mechanism design, and arbitrage strategies analysis.