Research On Investment Strategy Simulation Of Stock Index Futures Market Based On Netlogo

Stock index futures are the most important financial derivatives that develop fastest. With the listed transaction of Shanghai Shenzhen 300 index futures in CFFEX, stock index futures has entered the rapid development period in China. Under this circumstance, the research on strategies of stock index futures transaction becomes more and more important. From the microscopic angle, the investor needs to select a proper transaction strategy to reach the goal of evading risks or making profits; from the macroscopic angle, the policy maker needs to research the influence of investor's selected transaction strategy on the overall market structure.This paper uses methods of computational experiment finance to research the strategy of stock index futures transaction. By using multi-agent modeling method, it simulates the stock index futures market and its close-related stock market. Starting from the transaction strategy of investors, it researches the surviving status of investors in market, and starting from the surviving status of microscopic investors in market, it researches the macro structure of market.The major research conclusion of this paper is: in simulation market, the activities of speculators bring arbitrage opportunities to arbitragers and their transactions make the price of stock index futures keep in uniform with the stock price, which creates conditions for hedgers to evade market risks; after the simulation market becomes stable, the populations of hedgers, arbitragers and speculators have a certain ratio relation, which corresponds to the investors'structure in mature stock index futures market; the speculators'change of different speculative strategies would cause obvious influences on the market. Trend speculators would make the arbitragers completely lose arbitraging opportunities or have consistent arbitraging opportunities, reverse speculators would cause structural arbitraging opportunities to arbitragers, flock speculators would bring arbitragers with opportunities for―scalping‖on that day, noise speculators would bring stable arbitraging opportunities to arbitragers.