Abstract：In order to study the impact of stop-loss trading on traders′ behavior and asset prices in the market, this paper constructs a multi-agent market model with stop-loss strategy based on the method of agent-based computational finance. The model simulation results show that when the stop-loss threshold is touched in the market, it is easy to trigger continuous stop-loss trading, resulting in a behavioral cascade between traders. This kind of transaction cascading leads to an increase in the convergence of trader behavior, an imbalance between sell orders and buy orders in the market, an abnormal collapse in market prices and a liquidity black hole.
张松明, 李红刚. 止损策略与市场行为级联[J]. 复杂系统与复杂性科学, 2021, 18(2): 21-28.
ZHANG Songming, LI Honggang. Stop-loss Strategy and Behavioral Cascade in the Asset Market. Complex Systems and Complexity Science, 2021, 18(2): 21-28.
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