The Design And Analysis Of Agent-Based Models Of Stock Market

With the development of the computer technology, since the nineties of the last century, some scholars have tried to simulate the financial market with the computer technology and reveal the laws of the macro stock market by studying the micro structures' behavior of the market. The study is called computational finance. One of the most representative studies is the Artificial Stock Market (ASM) which is studied by the Santa Fe Research institute in the United States. After that, most of the researches are focusing on the relationships between the behavior of the Agent and the prices of the stock. So the classification and design of the Agents, especial the description of their behavior, are the most critical technical problems in the study. For the computational finance, the behavioral finance is foundation. However, the application of behavioral finance is less in the current research. And the psychological factors have not yet been taken into account the design of micro structure. Based on the previous studies, the paper puts the different roles of the investors into two categories firstly, and then introduces the prospect theory of the behavioral finance to set up these two kinds of model. At last, the experimental results are analyzed, and the complicated dynamic phenomenon which is resulted from the price limit and the interest rate adjustment is reappeared in the system.