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EDMI027.pdf

Article Title : Analysis of the Effectiveness of Stock Market Investment Strategies based on Multi-agent Modeling
Author(s) : Yuanchen Wang
Corresponding Author : Yuanchen Wang
Keywords : Behavioral Finance; Hot Hand Effect; Gambler's Fallacy; Computational Experiment; Finance.
PDF : http://download.BCPub.org/proceedings/2021/EDMI2021/EDMI027.pdf
Abstract

Since the 21st century, due to the inability to explain a large number of "financial anomalies", the theory of modern classic finance has been questioned. On the other hand, finance theories that can effectively explain these "financial anomalies" have become part of mainstream finance and are at the forefront of financial research. Behaviour finance mainly studies the impact of human psychology on financial behaviour and its impact on the entire market. With the development of behavioral finance itself, its theory also plays an increasingly important guiding role in financial practice activities. Behavioural finance theory focuses on the analysis of investor's errors and deviations and market abnormalities caused by psychological factors in the financial market. Scholars have created many behavioural finance investment strategies by studying the investment behaviour of investors under the influence of heuristic effects. These investment strategies have prevailed in the market and have become the focus of attention of the financial academia and investors. This paper adopts the research ideas and methods of computational experimental finance, takes the trading individuals in the stock market as the research object, and uses computer simulation technology to build a Multi-agent simulation trading platform based on the real historical data of my country's stock market. The simulation platform simulates the behaviour of investors affected by the heuristic effect of behavioural finance, and analyses the simulated transaction data generated by the platform to study the influence of the heuristic effect on the investment behaviors of real investors.

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