Agent Based Artificial Energy-Financial Market And Risk Measurement Research

With the continuous development of economy, the affecting of financial on society markets increasingly strengthen, research about artificial financial market has become one of the hot research spot of current areas of the economy.The paper based on the artificial financial market simulation platform and the calculation principles of economics (ACE). In the setting of the trading object, we using the markowitz portfolio makes agent between multiple stocks in order to achieve their optimum interests. In the construction of artificial market, we introduce the key factors of crude oil prices which affecting the stock price of financial markets. In terms of setting agent's expectations order price and number, we using three factors of market and the utility function of wealth, and we using continuous double auction mechanisms in this market simulation. In our simulation market, through comparing with the sample data in the real stock market, we found that the stock price time series in simulation market has a similar spike thick tail, and the real stock market volatility gathered, and the data characteristics of long memory and other data feature. To further demonstrate the validity of the model by comparing the results of the VaR measure based on different models, indicating that the risk measure can be more effective on the financial markets that based on double auction of the stock prediction, to further illustrate the simulation model is rationality and feasibility, it can provide a reference for investors about investment decision-making and risk management in the market.