最小报价单位对市场流动性影响的计算实验研究

采用计算实验的研究方法,对不同最小报价单位设置下的市场流动性进行研究,在LZ3X连续双向拍卖人工股票市场平台(具有与中国股票市场相类似的连续双向拍卖结构特征)上,设计9组不同最小报价单位设置下的可控实验,分别考察最小报价单位变化对市场流动性的影响规律。通过对实验数据的分析发现,随着最小报价单位的减小,买卖价差减小,同时市场深度也有减小的特征,这与实证研究的结论一致。在此基础上,为了进一步确定最小报价单位对市场流动性的影响,应用Martin指数和Glosten-Harris模型对不同最小报价单位设置下的市场流动性进行测度,发现其测度参数均同方向地随着最小报价单位的减小而减小,从而说明最小报价单位的减小能够明显提高市场流动性,并且最小报价单位在0.01,0.30]范围内此规律保持不变。

Impact of Tick Size on Market Liquidity by Agent-based Modeling Approach

This research focuses the impact on the market liquidity with different tick size levels,based on the method of agent-based computational finance.Using LZ3X continuous double auction artificial stock market computational platform,which is similar to China′s stock market,we designed 9 different controllable experiments with different tick size setting to investigate the impact of size tick on market liquidity.Results of data analysis indicats that the bid-ask spread and market depth would be decreased by smaller the tick size,which coincides with the empirical results.Furthermore,the Martin index and the fitted parameters in the Glosten-Harris model would change in the same way with the tick size adjusting.So it concludes that,decrease the tick size can improve the market liquidity significantly,and even in the range of 0.01,0.30] this pattern keeps steady.