| This paper, based on Artificial Stock Index Futures Market (U-Mart) and Agent-based model method, researches the impact of investor structure to the market liquidity, especially the relationship of the proportion of noise trader and the market liquidity. Unlike the former methods, this paper designs five experimental groups on the U-Mart platform, and views the investor structure as variable. First of all, due to the feature of U-Mart, five investment strategies are chosen, including noise strategy, trend trading strategy, anti-trend trading strategy, MAC strategy and intraday trading strategy. Then this paper assumes there are 100 traders in the market in total and designs five groups which separately includes 100, 80, 60, 40 and 20 noise traders in each. After the assumption the simulation could be run and the effective flow rate and the turnover probability to indicate the market liquidity performance can be also calculated.Several conclusions are made in this paper: the investor structure has a direct effect to the market liquidity under the platform of U-Mart. The simulation shows that the market performs better when the proportion of noise trader increases; however, the market becomes much more instable. An interesting phenomenon has been found: The market performs favorable when there are about sixty to eighty noise traders out of one hundred investors in the market. The additional experiment demonstrates that certain degree of diversified trade strategy will improve the market liquidity. All of those results have certain reference value to the development of HS300 Index Futures and it is necessary to reinforce the investor education. |
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