Simulation Experiment Research On Multi-stock Double Continuous Auction Market Based On Agent

The research of agent-based behavioral finance and investment behavior is a focus ofthe economic research. Through the learning of related research in China and abroad, itfounds that most existing artificial financial markets only consider one single risk assetsand only use the expected utility theory. In the view of these, one agent-based multi stockscontinuous double auction artificial financial market (artificial market) will be built in thispaper to study the emergence generating from bottom to up, the strategies of traders, andthe differences between single stock market and multi stocks market.One artificial stock market which has used prospect theory, Markowitz portfoliotheory and behavioral portfolio theory in single account is built in this paper. The prospecttheory traders in this market use prospect theory to characterize the psychological utilityof wealth change, and use expected return-variance of return theory to get investmentportfolio. The fundamentalist trader uses expected utility theory to describe the utility ofwealth and use Markowitz portfolio theory to get the best investment portfolio inmulti-stocks market. The way of forecast the price and the volume of each stock both arerandom for random trader. Meanwhile, there is no specific portfolio in multi-stocks marketfor random trader. The clearing mechanism forms the market trading price in the form ofthe order book.Using Anylogic, this paper have implemented simulation platform, and throughwhich show that: the artificial market in this paper is efficient. In Macro Terms, marketprices are fluctuant, the yield is no-normality and the change of overall wealth of all kindsof traders consistent with human subjective feelings. On this basis, one simulation thatstudies all kinds of trader’s strategy has been carried out. The result shows that: theprospect trader and fundamentalist trader are "smart", which means that both of themincrease their holdings of the blue chip, while reduce their holdings of the profitless stock,however, random trader can’t do this. Furthermore, prospect trader can do better thanfundamentalist trader which is because of that the former has smaller variance and higherreturn than latter. In the end the differences between single-stock market and multi-stockmarket is studied in this paper. It finds that the investor in single-stock market may get more yield than in the multi-stock market, but the investor need to assume more risk.