Financial Market Model Based on Heterogeneous Agent Interacting

摘要

In this paper, a financial market model based on heterogeneous agent interacting is constructed. In this model, two types of agents (fundamentalist and trend follower) are assumed to exist in financial market, and contrarian investment strategy and inertia investment strategy are respectively applied by them and realized investment return is used as fitness index, so as to form a heterogeneous expectation for the future price of risky assets. When investors convert different faiths or investment strategies, their proportions are presented to be time-varying.