Research On Irrational Stock Market Bubbles Based On Agent-based Computational Finance

Accompanied the U.S. subprime mortgage crisis by the year2007caused the worldwide economic crisis, the term " Bubbles " has aroused people’s attention again. From the U.S. stock market crash in1929, to the collapse of Japanese stock and property bubbles in the late1980s, and then the collapse of the Internet bubbles in the United States around2000, Every time the stock market bubbles collapsed regarded the prevailing macroeconomic into stagnation or depression state, disrupting the normal operation of financial markets and economies.Since the development of the theory of bubbles, it can be divided into rational bubbles and irrational bubbles, the rational bubble theory study with the assumption of rational expectations and efficient market hypothesis as a premise, At this stage, the rational bubble model has dominated.Along with the continuous development of behavioral finance, the growing number of economists to abandon the assumption of "rational economic man", theory of rational bubbles is also affected and unprecedented challenges. Departure from the psychological, behavioral point of view of the market agents, such as foam, excessive volatility, to explain market has opened up new ideas. Non-rational bubble theory has made considerable progress on this basis, the non-rational bubble theory is that the asset price bubble is the result of the behavior of market agents, while the behavior of market agents is bounded rationality.Analysis as one of the behavior of market agents-the impact of investors’ appetite for risk on the irrational bubble, with the SFI artificial stock market simulation platform, the coefficient of agent risk preferences set by the method of computational experiment financial and running the experiment. The experimental results show that:with the continuous strengthening of investors’ appetite for risk, the degree of non-rational bubble in the stock market in general was also expanding trend. When the risk appetite of investors to a lesser extent, the rise of irrational market bubble is also relatively slow; the lower market risk appetite, irrational fluctuations in the bubble to remain largely at a lower level. Market investors to high risk appetite, not only market bubble than the lower risk appetite of the market is large, and the volatility of the bubble than low market risk appetite.