Agent-based Computational Research Of Limit Order Driven Market

In this paper we develop a limit order-driven market model, which contains heterogeneous investors. We discuss some Micro-finance market problem by Agent-based computational finance. When there are only fundamental analysis investors or just momentum investors in the market, asset price can’t return to its fundamental value. While there are fundamental analysis investors and momentum investors in the market, the market price can be more close to fundamental value. The simulated market price data based on this model can show the similar realistic market typical phenomenon. And the occurrence of the typical phenomenon may be related to the existence of momentum investors. Fundamental analysis and technical analysis are two most popular investment analysis methods. We compare the performance of these two investment analysis methods in the experiment and find fundamental analysis performing much better. Insisting on value investment will get better return. We analyze the effect of policy of price limit on market liquidity, volatility and overreaction. We find the price limits decrease stock price volatility, counter overreaction, but interfere with trading. The results of research on these problem show advocate of value investment importance to the development of the market.