Modeling Of Chinese Stock Market And Researching On Market Ecology

In recent years, through the empirical researches scholars found that some phenomena like the peak-fat-tail property, inverse cubic law and long-term correlation exist in financial market, which is contrary to efficient market hypothesis. In face of the economic predicament, based on constructing an agent-based computational economics model, this paper studies the inner formation mechanism of statistical characteristics of price fluctuations, and by investigating the investor composition, interaction, activity level and the influence of their activity level on price fluctuation, we provide an ecology interpretation to price fluctuations. This paper mainly does the following four aspects.Firstly, this paper constructs an agent-based stock market model. It not only incorporates rules in Chinese stock market like non-short selling, price limit, order-driven and so on, but also introduces price sensitivity and feedback-time to describe investors’heterogeneity and adaptability. And fundamentalists, momentum, reversal and noise traders are involved in this model.Secondly, under different parameters the peak and fat-tail property of return distribution is produced and the obtained statistic values coincide with empirical results. Inverse cubic law and long-term correlation in volatility also examined coincides with the real.Thirdly, after lots of experiments, by adjusting parameters individually and studying the influence of various parameters on the statistical characteristic values, this paper find:when the dividend keep on unchanged for a long time, the small fluctuations on short-time scale always happen; it is the momentum traders’intense activity that leads to big fluctuations always happen; fundamentalists have an important role in restraining big fluctuations; momentum and reversal traders having more effect on the market, it is their intense activity that leads to small fluctuations on short-time scale always happens.At last, through the research on the relationship between interaction, activity level and price fluctuation, we provide an ecology interpretation to price fluctuations. It is found that:positive fundamentalists will urge momentum traders and reversal traders to get active, momentum traders and reversal traders will promote each other; price is volatile when agents are active; fundamentalists are not the maker of big price fluctuation, while momentum traders and reverse traders promote the generation of small price fluctuations; The average market anticipation is negatively related to returns and market activities ratio; there both exist power law relationship between fundamentalists’activity ratio and returns, average market anticipation and market activity ratio.