构建集合竞价数学模型,设计实现算法,采用理论分析与金融实验相结合的方法,从静态与动态两个角度研究集合竞价机制中的成交价决定原则对股票价格的影响,得到结论: 1)不同的集合竞价成交价决定原则, 产生不同的股票价格;2)从长远来看, 集合竞价成交价决定原则,对股价走势的影响是长期和重大的; 3) 是否引入更少系统风险,集合竞价算法中的中间成交价和参考价格原则并不比最小或最大成交价决定原则好多少.研究结论对证券交易机制设计具有理论和实践指导意义.

The model of call auction and its algorithm were constructed to investigate the impact of deal-price decision rule in call auction on stock price from both static and dynamical aspects. Conclusions obtained via theoretical analysis and financial experiments are: 1) the different deal-price decision rule in call auction generates completely different stock price; 2) the impact of deal-price decision rule on stock price is lasting and significant; 3) as far as the function of reducing the systematic risk for stock market is concerned, neither the middle-price nor the reference-price decision rule in call auction outperforms the lowest-price and largest-price decision rule. These conclusions are helpful in well understanding and designing mechanism of stock markets.