A Financial Asset Prices Simulation Model Considered Investors' Will And Influence Around

Since 1980's,researchers became to realize that there are many "abnormal phenomena", including January effect,Seasonal Effect etc,which don't match the traditional financial theory --Efficient Market Theory.In order to seek the reasons,some approaches of natural science research,such as non-linear analysis,dynamic systems,chaos and fractal,are applied to stock market,and many models are established by complex systems tools.In this paper,an agent-based model is proposed to study the mechanism price formation in financial market,using the Sznajd model based on proliferation of personal opinion to simulate the micro-relations between stock traders in stock market.Agents' decision-making process is influenced by their personal will and neighbors' decision,and the process of price formation and evolution referred to the actual stock market price formation,that is,stock traders make trading decisions,then they bid the price of sale or buy,while sale transaction reached,market price is formed.In the appropriate initial conditions and parameters space,the work of computer simulations and numerical analysis on the simulation results are done.The simulated price time series and yield time series are in accordance with empirical research results,possessing typical statistical characteristics of financial assets' fluctuations,such as long memory,fat tails and so on.And the model of this paper reflects some attributes of the actual market in some aspects.Sensitivity analysis are done for the role of parameters in the model,and analysis the impact that the wills of investors and the antagonistic role to the financial asset prices.Finally,the macro-performance of financial assets is simply explained while rational inventors and followers exist at the same time.