Agent-based Effectiveness Analysis Of Investment Strategy On Stock Market

Since the1980’s, due to the inability to explain a lot of "market anomalies", modernstandard finance theory has been questioned strongly. On the contrary, behavioral finance,which can explain “market anomalies” effectively, has quickly become part of mainstreamfinance and a research front on the related fields of research. Behavioral finance is thestudy of the influence of psychology on the behavior of financial practitioners and thesubsequent effect on markets.Along with the development of behavioral finance, the theory also plays a more andmore important role in the investment area. Behavioral finance focuses on analyzing theerror caused by investor’s psychological factors and the market’s abnormal deviation.Scholars think the research on the impact caused by heuristic effect on investors’ behaviorcan generate many high-yield investment strategies. These investment strategies arepopular and attract investors and financial scholars’ attention.The research thoughts and methods of this papers be derived from the ACF(theAgent-based Computational Finance). The stock market participant has been regarded as amain object of study. We have constructed a multi-agent trading simulator platform whichbased on the historic data of China’s stock market using computer simulation. We haveimitated the behavior of the investors who influenced by heuristic effects on the tradingsimulator platform. Analyzing data of the trading simulator, we have studied on theinfluence by heuristic effect on the real investors’ behavior.The conclusions of the paper is that the individual investor who are influenced byheuristic effects, Such as "hot hand effect" and "gambler’s fallacy", can’t get more returnthan others using random investment strategies.These strategies which is based onheuristic effects theory is not obvious to improve investor returns.