Title :
Price limit and the stability of stock market: An application based on multi-agent system
Author :
Liu, Xiaofeng ; Cao, Hua
Author_Institution :
Dept. of Finance, Nankai Univ., Tianjin, China
Abstract :
This paper studies the impact of the daily price limit policy on the stability of stock market, through the establishment of computer simulation program towards the stock market and a great amount of experiments. We find that for the market with a relative small scale, the daily price limit policy is conductive to the stability and reduces the volatility of the stock price to a certain extent, while, for the market with a relative large scale, the policy lowers the stability of the stock market and exacerbates the price fluctuation.
Keywords :
multi-agent systems; pricing; stock markets; computer simulation program; daily price limit policy; multiagent system; price fluctuation; stock market stability; stock price volatility reduction; Computational modeling; Educational institutions; Fluctuations; Genetic algorithms; Stability analysis; Stock markets; computer simulation; daily price limit; stability of the market;
Conference_Titel :
Artificial Intelligence, Management Science and Electronic Commerce (AIMSEC), 2011 2nd International Conference on
Conference_Location :
Deng Leng
Print_ISBN :
978-1-4577-0535-9
DOI :
10.1109/AIMSEC.2011.6010254
