  This study presents an agent-based computational cross-market model for
Chinese equity market structure, which includes both stocks and CSI 300 index
futures. In this model, we design several stocks and one index futures to
simulate this structure. This model allows heterogeneous investors to make
investment decisions with restrictions including wealth, market trading
mechanism, and risk management. Investors' demands and order submissions are
endogenously determined. Our model successfully reproduces several key features
of the Chinese financial markets including spot-futures basis distribution,
bid-ask spread distribution, volatility clustering and long memory in absolute
returns. Our model can be applied in cross-market risk control, market
mechanism design and arbitrage strategies analysis.
