The Research On Trading Mechanisms In Stock Options Market Based On Agent-based Computational Finance

In recent years, the comprehensively deepening reforms of financial markets in China have been constantly promoted, the marketization degree has been further deepened, and several derivatives have been launched. However, these derivatives are not enough to satisfy the needs of the investors and the Chinese derivatives market development. As one of the most active derivatives in the global derivatives market,options, provide more efficient approaches and tools for investors to make risk management and asset allocation, and play an important role in making the capital market operation mechanism more healthy. The introduction of stock options is very significant to the healthy development of financial markets in China, and thus, this paper does research on the trading mechanism in the stock options market and the introduction of market making mechanism, based on the approach of agent-based computational finance. The research can provide support and reference for the introduction of stock options to the derivatives market in China.In the research process, firstly, this paper systematically reviews and studies the agent-based computational finance, market making mechanism, and the main pricing theories of market maker, which provides important theoretical supports for the research of this paper. Then there exists a study on the successful experiences of several options markets in the world, which can be used as reference when building up Chinese stock options market. It is better than the qualitative research on the market making mechanism before, this paper builds up an artificial stock options market with market making mechanism based on the approach of agent-based computational finance. Through constructing the model market maker uses to obtain optimal bid ask quotes and the model investors use to make anticipation about the option price and trading volume, this paper designs the behaviors of market maker and investors specifically and then builds up the simulation model. What's more, this paper makes further improvement on this existed simulation model by introducing the continuous double auction mechanism, which leads to a mixed trading system. In the mixed trading system, investors are free to make choices on the trading methods,making immediate trading with the market maker or waiting for trading with other investors. Then, we build up the updated mixed trading system market and make simulation experiments based on different parameters and different immediate turnover ratio.Through making simulation experiments and analyzing the experiment results,this paper finds out that the model parameters will make effect on the price and volume of the stock options, and that the introduction of market making mechanism to the stock options market will play an important role in enhancing the stability of market prices and providing more liquidity for the market. This paper gives the comparative analysis of the experiment results of the two models constructed, and finds out that the mixed trading system will make the stock options market more efficient, and mixed trading system market is good for the healthy development of the stock options market in China.