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在Eclipse平台上构建了一个模拟中国沪深股市的人工股票市场,采用交易者混合策略三因素模型和交易意愿更新模型刻画了有限理性异质交易者的投资行为。通过对不同价值股票在不同最小交易单位机制下的重复仿真实验,从价格数据、市场指令流、交易者福利、市场质量等几个方面对比分析了最小交易单位设置的合理性。结果表明,在我国股市现有交易机制和投资者结构下,降低最小交易单位能够增强小额投资者的参与热情和预测精度,提高股票价值和市场质量,这一点对于高价股尤其明显。因此,文章建议适当降低最小交易单位,并提出“1股的统一最小单位制”和“优先降低高价股最小交易单位的分级最小单位制”两种机制调整方案以供参考。
On the Eclipse platform, an artificial stock market that simulates the stock markets in Shanghai and Shenzhen of China is constructed. The three-factor model of the hybrid strategy and the transaction-renewal model are used to characterize the investment behavior of the bounded-rational heterogeneous traders. Through the repeated simulation experiments of different value stocks under the different minimum transaction units mechanism, the reasonableness of the minimum transaction units setting is analyzed from several aspects such as price data, market order flow, trader welfare and market quality. The results show that under the existing trading mechanism and investor structure in China’s stock market, lowering the minimum trading unit can enhance the enthusiasm and accuracy of the participation of the small investors and increase the stock value and market quality, which is especially obvious for the high-priced stocks. Therefore, the article suggests that the minimum trading units should be appropriately reduced, and two adjustment schemes should be proposed for the reference of “unified minimum unit system of 1 unit” and “hierarchical minimum unit system of priority reduction of the largest trading unit of minimum trading unit”.