The Distribution and Dynamics of Investors′ Wealth on an Artificial Financial Market
GAO Yan1, LI Zhaohui2
1. Department of Financial Engineering, School of Finance, Central University of Finance and Economics, Beijing 100081, China; 2. Business School, Imperial College London, London SW11 2DL,U K
Abstract：This paper constructs an artificial stock market which could exhibit the key statistical properties of the real market by agent-based modeling. By describing three types of investors (institutional investor, trend investor and noise investor) which are different from their information endowments and trade behaviors, the model exhibits the power-law distribution of investors′ wealth (in the high-wealth range), and we find that the Gini coefficient of the wealth distribution decreases as the initial share of institutional investors increases. This result implies that the institutional investors who are dominant in information gather market wealth, but this effect is reduced as more investors join their group. From the view of improving equality in resource allocation, we also give some targeting suggestions to the Chinese stock markets.
高言, 李昭辉. 基于人工股票市场的财富分布及演化研究[J]. 复杂系统与复杂性科学, 2015, 12(1): 17-27.
GAO Yan, LI Zhaohui. The Distribution and Dynamics of Investors′ Wealth on an Artificial Financial Market[J]. Complex Systems and Complexity Science, 2015, 12(1): 17-27.
[1] Farmer J D, Foley D. The economy needs agent-based modeling[J]. Nature, 2009, 460:685-686. [2] Buchanan M. Meltdown modeling: could agent-based computer models prevent another financial crisis?[J]. Nature, 2009, 460:680-682. [3] 李红权.计算金融学与政策模拟的前沿动态[J].计算机工程与应用, 2010,46(18): 21-23. Li Hongquan, Agent-based computational finance and policy simulation in financial markets:review and comment[J]. Computer Engineering and Applications, 2010, 46(18):21-23. [4] 张维,冯绪,熊熊,等.计算实验金融在中国:研究现状及未来发展[J].系统管理学报, 2012, 21(6):756-764. Zhang Wei, Feng Xu, Xiong Xiong, et al. Agent-based computational finance in China: its present state and future prospects[J]. Journal of Systems & Management, 2012, 21(6):756-764. [5] 范如国,叶菁,杜靖文.基于Agent的计算经济学发展前沿:文献综述[J].经济评论, 2013,(2):145-150. Fan Ruguo, Ye Jing, Du Jingwen. Frontier development of agent-based computational economics: a survey[J].Economic Review, 2013,(2):145-150. [6] LeBaron B. Agent-based financial markets: matching stylized facts with style[C]//Colander D. Post Walrasian Macroeconomics: Beyond the DSGE Model. Cambridge: Cambridge University Press, 2006: 221-238. [7] Smith V L. An experimental study of competitive market behavior[J].The Journal of Political Economy, 1962, 70(2):111-137. [8] Chan N T, LeBaron B, Lo A W, et al. Agent-based models of financial markets: a comparison with experimental markets[EB/OL].[2013-08-30]. http://dx.doi.org/10.2139/ssrn.290140. [9] Gode D K, Sunder S. Allocative efficiency of markets with zero intelligence (ZI) traders: market as a partial substitute for individual rationality[J]. Journal of Political Economy, 1993, 101:119-137. [10] Zhan W, Zhang J, Yang J, et al. K-ZI: a general zero-intelligence model in continuous double auction[J]. International Journal of Information Technology & Decision Making, 2002, 1(4):673-691. [11] 詹文杰,占俊英.连续双向拍卖中的 “增强零信息” 策略研究[J].管理评论, 2008, 20(5):44-50. Zhan Wenjie, Zhan Junying. Study of zero-intelligence plus trading strategies in continuous double auction market[J]. Management Review, 2008, 20(5):44-50. [12] LiCalzi M, Pellizzari P. The allocative effectiveness of market protocols under intelligent trading[C]//Bruun C. Advances in Artificial Economics. Berlin: Springer, 2006:17-29. [13] Rust J, Palmer R, Miller J H. Behavior of trading automata in a computerized double auction market[EB/OL].[2013-08-30]. http://www.santafe.edu/media/workingpapers/92-02-008.pdf. [14] 詹文杰,邵原.连续竞价市场的交易策略研究综述[J].管理学报, 2008,5(6):921-927. Zhan Wejie, Shao Yuan. Review on trading strategy of continuous double auction[J]. Chinese Journal of Management,2008,5(6):921-927. [15] 赵志刚.学习模型与资产市场[D].天津:天津大学管理学院,2010. Zhao Zhigang. Learning models and asset market dynamics-a research of agent-based computational finance[D].Tianjin: School of Management, Tianjin University, 2010. [16] 宋逢明,李超.股票市场涨跌停板设置的微模拟研究[J].运筹与管理,2007,16(1): 100-106. Song Fengming, Li Chao. Microscopic simulation research into the ideal price limit on stock market[J]. Operations Research and Management Science, 2007,16(1): 100-106. [17] 巩兰杰,王春峰,房振明.基于 Agent 的连续双向拍卖人工股市建模研究[J].计算机应用研究, 2008,25(12):3602-3604. Gong Lanjie, Wang Chunfeng, Fang Zhenming. Research on modeling of agent-based artificial stock market with continuous double auction mechanism[J]. Application Research of Computers, 2008, 25(12):3602-3604. [18] Mike S, Farmer J D. An empirical behavioral model of liquidity and volatility[J]. Journal of Economic Dynamics & Control, 2008, 32:200-234. [19] 陈莹,袁建辉,李心丹,等.基于计算实验的协同羊群行为与市场波动研究[J].管理科学学报, 2010,13(9):119-128. Chen Ying, Yuan Jianhui, Li Xindan, et al. Research on collaborative herding behavior and market volatility: based on computational experiments[J]. Journal of Management in China, 2010,13(9):119-128. [20] 马正欣,张维,熊熊,等.指令簿透明度增加与市场价格发现——基于计算实验金融方法的指令驱动市场研究[J].南开经济研究, 2011,(1):132-141. Ma Zhengxin, Zhang Wei, Xiong Xiong, et al. Increasing order book disclosure will promote price discovery?——a research in order-driven market based on agent-based computational finance[J]. Nankai Economic Studies, 2011,(1):132-141. [21] Anufriev M,Valentyn P, Jasmina A, et al. Efficiency of continuous double auctions under individual evolutionary learning with full or limited information[J]. Journal of Evolutionary Economics, 2013, 23(3): 539-573. [22] Li Y L, Zhang W, Zhang Y J, Zhang X T, Xiong X. Calibration of the agent-based continuous double auction stock market by scaling analysis[J].Information Science, 2014,256: 46-56. [23] 李悦雷,张维.基于计算实验金融的连续双向拍卖股票市场交易机制研究[D].天津:天津大学管理学院,2012. Li Yuelei, Zhang Wei. The investigation of trading mechanisms in continuous double auction stock market based on agent-based computational finance[D]. Tianjin: School of Management, Tianjin University, 2012. [24] 李悦雷,张维,熊熊.最小报价单位对市场流动性影响的计算实验研究[J].管理科学, 2012,1:92-98. Li Yuelei, Zhang Wei, Xiong Xiong. Impact of tick size on market liquidity by agent-based modeling approach[J]. Journal of Management Science, 2012, 1:92-98. [25] Pareto V. Cours d′economie Politique[M]. Lausanne and Paris: Rouge and Cie, 1897. [26] Arnab C, Sitabhra S, Bikas K C. Economic inequality: is it natural?[J]. Current Science, 2007, 92(10):1383-1389. [27] Levy M, Solomon S. New evidence for the power-law distribution of wealth[J]. Physica A, 1997, 242(1/2):90-94. [28] Adrian D, Victor M Y. exponential and power-law probability distributions of wealth and income in the United Kingdom and the United States[J]. Physica A, 2001, 299(1/2):213-221. [29] Sinha S. Evidence for power-law tail of the wealth distribution in India[J]. Physica A, 2006, 359:555-562. [30] 高建敏,王炳兴. 中国财富分布规律的实证研究[J].浙江工商大学学报,2007,(1):61-65. Gao Jianmin, Wang Bingxing. An empirical research on the distribution of wealth in China[J]. Journal of Zhejiang Gongshang University, 2007,(1):61-65. [31] Persky J. Retrospectives: Pareto′s law[J]. Journal of Economic Perspectives, 1992, 6(2):181-192. [32] Gini C. Measurement of inequality and incomes[J]. Economic Journal, 1921,31, 124-126. [33] Newman M E J. Power laws, Pareto distributions and Zipf′s law[J]. Contemporary Physics,2005, 46(5):323-351. [34] Dalton H. The measurement of the inequality of incomes[J]. Economic Journal, 1920, 30:348-361. [35] 上交所.上交所统计年鉴(2012年卷)[DB/OL].[2013-08-30]. http://www.sse.com.cn/researchpublications/publication/yearly/c/tjnj_2012.pdf. Shanghai Stock Exchange. Shanghai stock exchange statistics annual (2012)[DB/OL].[2013-08-30]. http://www.sse.com.cn/researchpublications/publication/yearly/c/tjnj_2012.pdf. [36] 深交所.从近年数据看深市投资者结构和行为变化特征[DB/OL].[2013-05-08]. http://www.szse.cn/main/aboutus/bsyw/39749823.shtml. Shenzhen stock exchange. The properties of the changes in investor construction and behaviors——the evidences from the market data of recent years[DB/OL].[2013-05-08]. http://www.szse.cn/main/aboutus/bsyw/39749823.shtml. [37] Cont R. Empirical properties of asset returns: stylized facts and statistic issues[J]. Quantitative Finance, 2001, 1(2):223-236. [38] 郭树清,增加机构投资者比重 鼓励养老金入市[DB/OL].[2012-02-02]. http://finance.sina.com.cn/stock/t/20120202/011911293079.shtml. Guo Shuqing, Increasing the proportion of institutional investors and encouraging the pensions to invest in the stock markets[DB/OL].[2012-02-02]. http://finance.sina.com.cn/stock/t/20120202/011911293079.shtml.
