Research Of Investment Strategy Simulation Of Stock Index Futures Market Based On Computational Experiment

In recent years, stock index futures market is a research hotspot in the stock market. With the high complexity of the stock index futures, the complexity of the investor behavior is the main features. Effective studying on the investor behavior could help us analysis the characteristics of the leverage, intertemporal and linkage of the stock index futures market. The investment strategy which is the main symbol of the investors in the market behaviors is directly related to the returns to investors. Different investment strategies mean different investors’investment preferences and style. Studying on the investment strategy helps us analysis the dynamic variation of the market from the micro level to the macro level.This article analysis the Game and balanced law of the multiple subsystems of the stock index futures market from the perspective of experimental economics. This article depicts three basic trading strategy trading subject:hedgers, arbitrageurs, speculators. Combined with existing research, the speculators strategy was broken down into six basic classes: fundamentals, technical analysis, momentum, reverse, sheep, the noise and the other two derivative classes:momentum to reverse and mixed flock.There are several main conclusions in this paper as the following below. Firstly, there is a strong correlation between stock prices and stock index futures prices. The stock index futures price converges to the spot price over a period of time and the intrinsic value of the stock is the main reason which causes the changes of stock prices and stock index futures prices. Secondly, the proportion of arbitrageurs, hedgers and speculators in the market remain in a certain range. Thirdly, the speculators who hold different strategies make an influence on arbitrage activities in market. A lot of fundamental speculators could make the price stable. At the same time, the arbitrage activities are difficult to be implemented because of the reduced arbitrage space. Finally, in the stock index futures market including lots of speculators, the noise strategy speculators remain a stable large proportion in the market; the momentum reversal strategy has an advantage over the single momentum or noise strategies; the mixed flock strategy has an advantage over the single flock strategy but not the single noise strategy.