Study on artificial stock market model based on heterogeneous investors

By depicting trade strategy imitation among investors and stock price forming mechanism, we establish an artificial stock market model based on heterogeneous investors with the method of mean field approximation. The model considers both behavioral heterogeneity of investors and structural heterogeneity of investor network. The simulation results reveal that in certain parameter interval, the stock return of artificial market has the same properties as that of real markets, such as volatility clustering, sharp peaks and thick tail distributions, nonlinear time correlation. The investors´ trade strategy imitation tendency and the network average degree have positive relations with return fluctuation level. The trade behaviors of fundamentalists can smooth stock price fluctuations. Thus, fostering institutional investors will favor the steady development of stock market.