Cross-market Financial Risk Analysis Based On The Computational Experiment Finance

Correctly grasping the law of cross-market risk is the premise of the risk management of Stock Index Futures market. In this thesis,in connection with the relevance of the stock market and stock index Futures market,based on sumweb model, with means of controlled experiments we study the cross-market volatility characteristics, formation mechanism.Foreign scholars have done a considerable number of studies about Cross-market risk, but most of the risk analysis were based on mathematical logic model.The research based on the Computational Experiment Finance was always aimed at single market.In this thesis, based on the sumweb model,we adopt the methods of computational experiment finance to analyze the formation mechanism of cross-market risk from the characteristics of the typical investors and trading mechanism.Firstly, the paper disigns cross-market Computational Experiment platform from assets, the market trading mechanism, investors and their Prediction Mechanism and learning process, the introduction of stock index futures market;Secondly,the thesis introduces the framework of cross-market Computational Experiment platform; Finally, based on the sumweb model, with means of controlled experiments,we design the experiments from the introduction of stock index futures, investors and market trading mechanisms to study the risk formation mechanism of stock index futures and stock market.The main conclusions of this paper are that different investors with different risk preferences and strategies have different effects on the risk,in addition, based on sumweb model,setting price limits for the stock index futures market helps control risk.This study will provide a theoretical basis for the building of safe and efficient stock market and Stock Index Futures market,and provide theoretical guidance for risk prevention and control of the stock market and Stock Index Futures market, and thus to lay the foundation for promoting the capital market in China to develop long-term stably and healthily.