基于不同角色下的做市商制金融市场模型研究

doi:10.12005/orms.2021.0192

运筹与管理 ›› 2021, Vol. 30 ›› Issue (6): 139-143.DOI: 10.12005/orms.2021.0192

基于不同角色下的做市商制金融市场模型研究

王婧, 杨志

伊犁师范大学数学与统计分院,新疆伊宁 835000

收稿日期:2019-08-29 出版日期:2021-06-25
作者简介:王婧(1989-),女,新疆伊宁人,副教授,北京师范大学在读博士研究生,研究方向:随机过程及其交叉领域;杨志(1987-),男,山西洪洞人,讲师,硕士,研究方向:数理金融。
基金资助:
新疆维吾尔自治区自然科学基金(2018D01C007)

Research on Financial Market Model Based on Different Roles of Market Maker

WANG Jing, YANG Zhi

College of Mathematics and Statistics, Yili Normal University, Yining 835000, China

Received:2019-08-29 Online:2021-06-25

摘要/Abstract

摘要： 本文建立了一类做市商制金融市场模型,在该模型中,做市商扮演了投资者和供应商的两种角色。通过利用离散动力系统的稳定性、分支理论,考虑了不动点的存在性,以及重要参数对系统稳定性的影响,尤其是做市商在角色转换中对系统稳定性的影响。得出通过适当调整库存调节速率,对防止市场价格的剧烈波动有一定的作用。

关键词: 做市商, 库存, 库存调节速率, 参数, 稳定区域

Abstract: In this paper, we establish the financial market model of market maker under the two roles of market maker as investors and suppliers. By using the stability and bifurcation theory of discrete dynamical system, the existence of fixed points and the influence of important parameters on the stability of the system are considered. In particular, the effect of market maker's role change on system stability is considered, and it is concluded that the appropriate adjustment of inventory adjustment rate plays a certain role in preventing the sharp fluctuation of market price.

Key words: market makers, inventory, speed of inventory adjustment, parameters, stable region

中图分类号:

O211.9

王婧, 杨志. 基于不同角色下的做市商制金融市场模型研究[J]. 运筹与管理, 2021, 30(6): 139-143.

WANG Jing, YANG Zhi. Research on Financial Market Model Based on Different Roles of Market Maker[J]. Operations Research and Management Science, 2021, 30(6): 139-143.

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基于不同角色下的做市商制金融市场模型研究

Research on Financial Market Model Based on Different Roles of Market Maker

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