An analysis framework for building commodity futures market simulation model based on heterogeneous traders

Tan Li, Weiwei Wu

School of Management, Harbin Institute of Technology, 13 Fa Yuan Street, Harbin, China

Futures price volatility is always the hot topic for academic researchers and traders in futures market. For exploring the rules of futures price fluctuation, we try to develop a new analysing framework from the angle of the heterogeneous traders. We describe heterogeneous traders as four respects: trading motive, predict styles, risk-return preference, reaction speed, which can accurately describe the heterogeneous traders in futures market. According to the categories of heterogeneous traders, we construct traders’ internal model, which is used in a commodity futures market simulation model to verify the framework, and the results show the framework is useful.