The Return Analysis On Switch Of Investors’ Types Based On The Computational Experiment Finance

Asymmetric information is one of the important parts of market microstructure, and there are many kinds of information in the market that has direct influence on the investor s decision. Under the asymmetric information construction, the informed traders always get extra return from their private information. The uninformed traders only forecast the price on the basis of historical prices. However, the information in the market is not just owned by the informed traders, and the uninformed traders can also get information by buying brokers` report or searching information and so on, then they can trade like the informed traders. We study that whether such kind of traders can get better returns in the thesis.We mainly study the uninformed traders price forecasting and order strategy from the angle of the conversion of investors` type. The first chapter is the background of the question and the research method and structure; the second chapter is the study review which is related to the question. The third and forth chapters are the former model and some improvement about the model, then have some experiment about the model and analyze the result. The fifth chapter is the summary about the thesis and some possible research direction about the question.Because of the specialty of the question we study, we can`t do some empirical research by the real data, and we can only analyze and answer the question by simulating on the artificial stock market. We study the return about the GA traders of the uninformed traders are better or not if they consider the information cost before they trade through the conversion mechanism of investors` type, and whether the different investor`s structureCthe fluctuation of information cost and the accuracy of the information they get have some impact on their return.We conclude that when GA traders vary between the informed traders and GA traders, which means they switch between the two kinds of forecasting rules and strategy, their return is lower than both the informed traders and GA traders who take fixed strategies under the normal information cost. Only the information cost declines by a wide margin can the investors who vary between the informed traders and GA traders get better returns than GA traders.