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Pyramid scheme in stock market: A kind of financial market simulation |
| Yong Shi(石勇)1,2,3, Bo Li(李博)1,2,3,†, and Guang-Le Du(杜光乐)4,5 |
1 School of Economics and Management, University of Chinese Academy of Sciences, Beijing 100190, China;
2 Research Center on Fictitious Economy and Data Science, Chinese Academy of Sciences, Beijing 100190, China;
3 Key Laboratory of Big Data Mining and Knowledge Management, Chinese Academy of Sciences, Beijing 100190, China;
4 Wenzhou Institute, University of Chinese Academy of Sciences, Wenzhou 325001, China;
5 School of Physical Sciences, University of Chinese Academy of Sciences, Beijing 100049, China |
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Abstract Artificial stock market simulation based on agent is an important means to study financial market. Based on the assumption that the investors are composed of a main fund, small trend and contrarian investors characterized by four parameters, we simulate and research a kind of financial phenomenon with the characteristics of pyramid schemes. Our simulation results and theoretical analysis reveal the relationships between the rate of return of the main fund and the proportion of the trend investors in all small investors, the small investors' parameters of taking profit and stopping loss, the order size of the main fund and the strategies adopted by the main fund. Our work is helpful to explain the financial phenomenon with the characteristics of pyramid schemes in financial markets, design trading rules for regulators and develop trading strategies for investors.
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Received: 24 December 2020
Revised: 04 February 2021
Accepted manuscript online: 16 March 2021
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PACS:
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87.23.Ge
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(Dynamics of social systems)
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89.65.Gh
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(Economics; econophysics, financial markets, business and management)
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| Fund: Project supported by the National Natural Science Foundation of China (Grant Nos. 71932008 and 91546201). |
Corresponding Authors:
Bo Li
E-mail: libo312@mails.ucas.ac.cn
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Cite this article:
Yong Shi(石勇), Bo Li(李博), and Guang-Le Du(杜光乐) Pyramid scheme in stock market: A kind of financial market simulation 2021 Chin. Phys. B 30 098901
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