一128- 管理科学学报 2010年9月 [15]Farmer J D.Joshi S.The price dynamics of common trading strategies[J].Joumal of Economic Behavior Organization, Elsevier,2002,49(2):149-171. [16]Ponzi A,Aizawa Y.Criticality and punctuated equilibrium in a spin system model of a financial market[].Chaos,Soli- tons&Fractals,2000,11(9):1739-1746. Research on collaborative herding behavior and market volatility:Based on computational experiments CHEN Ying',YUAN Jian-hui2,LI Xin-dan',XIAO Bin-ging 1.School of Management and Engineering,Nanjing University,Nanjing 210093,China; 2.Nanjing Information Engineering University,Nanjing 210044,China Abstract:In comparison with the volatility of short-term real interest rates,consumption and dividend,the stock price volatility is in an abnormally high level.This phenomenon is called "the stock market volatility puzzle."Previous studies show that synergies between herding behavior and market sentiment would cause stock market volatility.In this paper,it is observed obviously that stock price bubbles or crashes are caused by synergy herding behavior through imitation between agent and market sentiment signals on computing experi- mental platform.The paper's research on herd behavior contains not only the agent's private signal,but also the overall market impact.The evidence is found that there is a strong correlation between herd behavior and eamings volatility.It has a strong theoretical value that agent-based computational finance is used in the research of behavioral finance.At the same time,the results will give some reference to investors and regulators. Key words:herding behavior;market fluctuations;computational experiments (上接第108页) [22]Geman S,Geman D.Stochastic relaxation,Gibbs distribution,and the Bayesian restoration of images[J].IEEE Transac- tions on Pattem Analysis and Machine Intelligence,1984,(6):721-741. [23]Hasbrouck J.The summary informativeness of stock trades:An econometric analysis[J].Review of Financial Studies, 1991,(4):571-595. Research on liquidity of Chinese futures markets via MCMC method LU Bin2,HUA Ren-hai 1.School of Finance,Nanjing University of Finance and Economics,Nanjing 210046,China; 2.School of Management and Engineering,Nanjing University,Nanjing 210096,China Abstract:In this paper,based on generalized sequential trading models and tick-by-tick trading data,we in- vestigate the liquidity of Chinese futures markets throught the seven main representative contracts.But,due to the exsitence of trade directions and effective prices which can not be observed,it is difficult to find the esti- mations of interesting parameters accurately.Fortunately,in the framework of Bayesian statistics,we can solve this problem by recent advances in Markov Chain Monte Carlo(MCMC)method.Throught the empirical anal- ysis,we conclude that the Gold futures contracts have the highest liquidity among the seven futures contracts. The liquidity for the other six futures contracts is about the same.The reason may be that Gold is a sepcial commodity wich has financial nature,while the other six commodities have similar characteristics. Key words:MCMC method;liquidity;futures market 万方数据一128一 管理科学学报 2010年9月 [15]Farmer J D，Joshi S．The price dynamics of common trading strategies[J]．Journal of Economic Behavior&Organization， Elsevier，2002，49(2)：149—171． [16]Ponzi A，Aizawa Y．Criticality and punctuated equilibrium in a spin system model of a financial market[J]．Chaos，Soli￾tons&Fractals，2000，11(9)：1739—1746． Research on collaborative herding behavior and market volatility：Based on computational experiments CHEN Yin91，YUAN Jian．hui2，LI Xin—danl，XIAO Bin—qin91 1．School of Management and Engineering，Nanjing University，Nanjing 210093，China； 2．Nanjing Information Engineering University，Nanjing 210044，China Abstract：In comparison witIl the volatility of short．term real interest rates，consumption and dividend，the stock price volatility is in an abnormally high level．This phenomenon is called“the stock market volatility puzzle．’’Previous studies show that synergies between herding behavior and market sentiment would cause stock market volatility．In this paper．it is observed obviously that stock price bubbles or crashes are caused by synergy herding behavior through imitation between agent and market sentiment signals on computing experi￾mental platform．111e paper’S research on herd behavior contains not only the agent private signal，but also the overall market impact．The evidence iS found that there iS a strong correlation between herd behavior and earnings volatility．It has a strong theoretical value that agent—based computational finance is used in the research of behavioral finance．At the same time，the results will give some reference to investors and Key words：herding behavior；market fluctuations；computational experiments regulators 钾钟础常常神州水水州斛删制础掣水臂水水永础砒衣永水水水水水乖砒僻水供水水水水水臂水神 (上接第108页) [22]Geman S，Geman D．Stochastic relaxation，Gibbs distribution，and the Bayesian restoration of images[J]．IEEE Transae￾tions on Pauem Analysis and Machine Intelligence，1984，(6)：721—741． [23]Hasbrouck J．The summary informativeness of stock trades：An econometric analy8is[J]．Review of Financial Studies， 1991，(4)：571—595． Research on liquidity of Chinese futures markets via MCMC method LU Binl，2 1．School of 2．School of ，HUA Ren—hail Finance，Nanjing University of Finance and Economics，Nanjing 210046，China； Management and Engineering，Nanjing University，Nanjing 2 1 0096，China Abstract：In this paper，based on generalized sequential trading models and tick-by—tick trading data，we in￾vestigate the liquidity of Chinese futures markets throught the seven main representative contracts．But，due to the exsitence of trade directions and effective prices which can not be observed．it is dimcult to find the esti． mations of interesting parameters accurately．Fortunately，in the framework of Bayesian statistics，we can solve this problem by recent advances in Markov Chain Monte Carlo(MCMC)method．Throught the empirical anal． ysis，we conclude that the Gold futures contracts have the hiighest liquidity among the seven futures contracts． The liquidity for the other six futures contracts iS about the same．The reason may be that Gold is a sepcial commoditv wich has financial nature．while the other six commodities have similar characteristics． Key words：MCMC method；liquidity；futures market 万方数据