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01-Applied Mathematics & Information Sciences
An International Journal
               
 
 
 
 
 
 
 
 
 
 
 
 

Content
 

Volumes > Volume 07 > No. 4

 
   

Modeling and Simulation of the Artificial Stock Market Trading System

PP: 1599-1607
Author(s)
Jinchuan Ke, Yuan Chen,
Abstract
By means of computer simulation technique, this paper builds an artificial stock market model consisting of decision making agents. Through the fundamental and technical analysis in the aspects of investors, trading cost, transaction volume, risk-free interest, tick size and price-limit system, the model is used to indicate the volatility and liquidity. The results show that the stock index time series has obtained the characteristics of steep-peak and heavy-tail, which is in accordance with that of real stock market. It is also found that an appropriate increase of tick size or relax of price limit would help improve the market liquidity, but to some extent, increase the market volatility. The irrational behavior of institutional investors and large volume of transaction are also easy to result in stock market fluctuation.

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