The Impact Of Stock Index Futures Trading Strategies On The Market Macroscopic Characteristics

This paper, based on Artificial Stock Index Futures Market (U-Mart), uses j30 stock index to analyses the impact of Stock Index Futures trading strategies on the market macroscopic characteristics under the condition of the market (price formation and volatility, trading volume, etc.).We use descriptive statistics, ARMA models and ARCH-LM test to measure the thickness of the end of the peak rate of return and volatility characteristics together. Artificial stock index futures market (U-Mart) market structure of the single market for the stock index futures trading, we can only trade futures contracts, and there is no two-way market mechanism. Therefore, the stock index series is derived from historical data or randomly generated. We use artificial futures market bid auction mechanism, and using fixed algorithms to match, no limit and limit restrictions, no friction and transaction costs, and allow short selling, the trading conditions are quite loose. In this way we can in a certain amount of the loan down to achieve better operating strategies and observing macroscopic characteristics of the market.In Experiment 1, the index futures price is very smooth, only range between 1980 and 2100, low volatility, trading volume is small, less liquid, from the proceeds rate characteristics, the experiment yields a normal distribution subject to the assumptions and no real financial markets, the yield appears thick tail spikes, through the ARCH-LM test, found no aggregated fluctuations too. In Experiment 2, the accession of investors moving average increased the volatility of futures slightly, prices range between 2020 and 2200, Volume also increased slightly, From the yield curve characteristics, the moving average investors began to deviate from the normal distribution curve, although the deviation is not high, but we can still see the emergence of peak fat tail characteristics, we also found that the curve aggregated fluctuations characteristics. In Experiment 3, the accession of momentum investors began to price volatility of stock index futures, trading volume has greatly increased. We could conclude that momentum investors is a significant reason .