Research On The Key Technique Of The Financial Market Modeling Based On The ACE

The modern financial market theory is the extension of the neoclassical economics in the field of finance,the theoretical basis of which is the "Random Walk Model" and "Efficient Market Hypothesis".Although this system info is very delicate in the formality,many interrogative voices has appeared along with research to the modern financial market theories and the realistic financial market by many literates.At the same time,many literates,who explained some financial anomalies of the financial market and get many conclusions which are different from the modern financial market theories,put forward many new research methods and theories.Modeling methodology in financial market based on ACE is one of the most important methods in all of the new research method.Therefore,it has very important theories value and actual meaning,which can make us understand the detail of the financial market,and analyze the financial anomalies,and discover the interaction rule, and build up more complete financial market theories.Artificial stock market model(ASMM) is developed to illustrate the ACE modeling key techniques in financial market.As a result,several innovative points and practical meanings are as follows.(1) Firstly,we build up the human-element-based agent model,which separates the agent into the mental part and the physical part,and which can make the agent modeling easier and clearer.At the same time,we build up the main dollar model based on fuzzy control technology,which possess the fuzzy decision ability and improve the decision ability of the Agent model.Furthermore,theses two techniques can be generalized to other models of ACE.(2) ASMM not only can reproduce many typical facts of the real market,such as the Peak and Fat-tailed character of the returm distribution,linear correlation and nonlinear correlation between the price fluctuations,price-volume characteristic, volatility clustering of the price,but also can generate the fractal structure and chaos phenomena similar with real stock market.Comparing with the real stock market, ASMM can not only generate stock price trends and properties rather similar to the real, but also show the fractal structure and the chaotic behavior in deep consistency with the real stock market.So,research on ACE modeling approach and technique can reveal evolution rule of real stock market,operate mechanism,policy influence and better investment strategy.(3) Finally,we analyze the results of the emergent of the ASMMM.Firstly,the phenomena of stock price fluctuation under the different market condition is analyzed,. We find that study and evolution of Agent is one reason of the stock price fluctuation; Secondly,we analyses the "20/80" phenomenon of the wealth distribution and find that the reason of this phenomenon is the forecasting rule of a handful of agents in the market can win the stock market,so we can better explain why the good investment strategy usually keeps secret in the real stock market;Finally,we analyses how individual action impact on policy effect and find that individual action is one reason of whether effectiveness of policy limits can get expectation.As a result,ACE modeling approach in financial market is not only a tool to support and verify the modern financial market theories,but also a test-bed to experiment various new theories,new policy,and new mechanism.