EXPERIMENTAL ANALYSIS OF VOLATILITY AND PRICE LIMITS

机译：波动率和价格限制的实验分析

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The relationship between volatility and price limits in a simulated stock market are investigated in this paper. With a modified version SFI-ASM, we find that when the price limits are relaxed the volatility of the simulated stock market is not always higher. The observation contradicts conventional wisdom.

机译：本文研究了模拟股票市场中波动率与价格限制之间的关系。通过修改版本的SFI-ASM，我们发现，放宽价格限制后，模拟股票市场的波动性并不总是更高。这一发现与传统观点相矛盾。

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来源
《The Fourth International Conference on Systems Science and Systems Engineering (ICSSSE'03); Nov 25-28, 2003; Hong Kong SAR, China》|2003年|p.486-490|共5页
会议地点 Hong Kong(CN);Hong Kong(CN)
作者
Xiao-guang Liu; Xiao-feng Liu;
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作者单位

Sun Yat-sen University and Guang Fa Securities Guangzhou, 510075 P.R. China;

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会议组织
原文格式 PDF
正文语种 eng
中图分类 N9;
关键词
price limits; volatility; simulation;

机译：价格限制;波动率;模拟;
入库时间 2022-08-26 14:20:34

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EXPERIMENTAL ANALYSIS OF VOLATILITY AND PRICE LIMITS

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