A Study On The Synchronicity Of Stock Price Based On Computational Experiment

With the further research of the financial markets, many scholars doubt the theories of traditional finance for asset pricing, risk measure etc., which based on rational person hypothesis and Efficient Market Hypothesis (EMH). But anomalies happened frequently in financial market, such as stock price synchronicity, which represents low efficiency of stock market. In order to further study the stock market and explain anomalies, more and more scholars have adopted experimental methods in financial domain research.Following the guidance for computational experiment for social science, a model of artificial stock market (ASM) is established on the basis of previous studies and real stock market. In order to study on the synchronicity of stock price, the model constructs three types of trader-agents, and three heterogeneity kinds of risk assets/ stocks. Each kind of trader-agents has their own decision-making and transaction rules, which determines trader's asset portfolio.Hundreds of experiments reveal that the market overall returns ratio is significantly volatility clustering, and confirm that the computational model is effective. The transaction between non-rational traders will make phenomenon of stock price synchronicity, the positive feedback traders will increase the synchronicity of stock prices (R2) significantly. Experiments result shows that R2 will be decreased when value traders doing short sales, enhancing the ability of forecast, or changing the coefficient of risk appetite every period.