Pyramid scheme in stock market: A kind of financial market simulation

doi:10.1088/1674-1056/abeef3

中国物理B ›› 2021, Vol. 30 ›› Issue (9): 98901-098901.doi: 10.1088/1674-1056/abeef3

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

收稿日期:2020-12-24 修回日期:2021-02-04 接受日期:2021-03-16 出版日期:2021-08-19 发布日期:2021-08-19
通讯作者: Bo Li E-mail:libo312@mails.ucas.ac.cn
基金资助:
Project supported by the National Natural Science Foundation of China (Grant Nos. 71932008 and 91546201).

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

Received:2020-12-24 Revised:2021-02-04 Accepted:2021-03-16 Online:2021-08-19 Published:2021-08-19
Contact: Bo Li E-mail:libo312@mails.ucas.ac.cn
Supported by:
Project supported by the National Natural Science Foundation of China (Grant Nos. 71932008 and 91546201).

摘要/Abstract

摘要： 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.

关键词: pyramid scheme, agent-based model, artificial stock market, herd behavior

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.

Key words: pyramid scheme, agent-based model, artificial stock market, herd behavior

中图分类号: (Dynamics of social systems)

87.23.Ge

89.65.Gh (Economics; econophysics, financial markets, business and management)

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[J]. 中国物理B, 2021, 30(9): 98901-098901.

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[J]. Chin. Phys. B, 2021, 30(9): 98901-098901.

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Pyramid scheme in stock market: A kind of financial market simulation

Pyramid scheme in stock market: A kind of financial market simulation

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