Cross-market Financial Risk Analysis Based On SUM Web

It's the prerequisite to grasp the characteristics of cross-market risk correctly not only for market risk management and control , but also for financial market's stability .In this paper, aiming at the relevance between our national stock market and stock index futures market, we construct the cross-market structure in which stock market and stock index futures market coexisting ,in use of SUMWeb platform developed by the Italian scholar, so as to make a deep study of cross-market risk characteristics and transferring law after the introduction of stock index futures.Some research about the market risk has been done by many foreign scholars. However, much has been done by using of mathematical models and just only for one single market. There's little study of risk rules in-depth under the cross-market environment. The computational and experimental method is used to construct artificial stock market and artificial stock index futures market in this paper. From the perspective of the typical investor, we aim to study the impact of various typical investors on the market risk in the cross-market environment.Firstly, this paper starting from the agent-based computational platform, establishes a cross-market experimental platform concerning with trading mechanism, asset, investors and other aspects, which strives to fit the actual market environment. Secondly, it introduces some common used risk measure methods and focuses on basic principles and calculation method of the most admired method—VaR. Finally, based on this platform , it designs the experiments from the perspective of stock index futures, arbitrage traders and various typical investors, measures the market risk using the VaR method, and then analyze the effect of various typical investors on market risk.Through designing and analyzing the experiments, we could conclude that, in artificial stock market, various typical investors have different effect on market risk due to their distinct strategies. It reflects in two aspects: on the one hand, the introduction of stop-loss and cognitive investors could reduce the market risk; on the other hand, local intimation investors and market-based intimation investors could increase the market risk dramatically.Our study can provide a theoretical basis for risk measurement techniques Moreover; we'll do a quantitative analysis of the impact of various typical investors on the market risk in the cross-market environment. These results will not only provide guidance for the cross-market risk management and control, but also make a strong basis for financial markets'healthy and orderly developing in China.