Study Of Stylized Fact In Limit-Order Markets Based On Heterogeneous Investors

Limit order book is a trading mechanism that has been widely used in global financial market. It has been proved that compared to the traditional market-maker, the function of discovering price and allocating resource in limit order market is better. In aim of researching and finding the causes of the properties and stylized fact, the dissertation built an artificial finance market using Matleb2009. The investors submit their demands in orders and trades happen based on it.This paper construct a simulation model based on the heterogeneous investors. With the extensive and intensive study in finance, researchers have found more and more limitations on the assumption of "rational person". It has been described by the behavior finance that investors couldn’t be homogeneous in the process of making decision. The differences exit among investors’backgrounds and values results heterogeneous in the priori believes. The heterogeneity among posteriori believes caused by the process of information diffusing. All of the above affect the performance of limit order market, such as overreaction. Then the construction of such model and further study into the model becomes reasonable and necessary.In the simulation model based on the heterogeneous investors, we prove that the excessive volatility, volatility clustering, spike thick fat-tai and other stylized facts still remain when mutual influence and learning process are absence. Unlike other research literature, this phenomenon is achieved with less parameters. Later, based on the existing theoretical models, we introduced the strategy heterogeneous investors, valued and momentum. By giving the two kinds of investor different behaviors and decision-making functions, the phenomenon of inertial reverse occurs in the simulation results. What is more, the proportion of the two types of investors brings significant impact to experimental results.