The Influence of Confidence and Social Networks on an Agent-Based Model of Stock Exchange
Autor(a) principal: | |
---|---|
Data de Publicação: | 2021 |
Outros Autores: | , , |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Institucional da UNESP |
Texto Completo: | http://dx.doi.org/10.1155/2021/1083640 http://hdl.handle.net/11449/222248 |
Resumo: | This paper aims to investigate the influence of investors' confidence in their portfolio holding relative to their social group and of various social network topologies on the dynamics of an artificial stock exchange. An investor's confidence depends on the growth rate of his or her wealth relative to his or her social group's average wealth. If the investor's confidence is low, the agent will change his or her asset allocation; otherwise, he or she will maintain it. We consider three types of social networks: Barabási, small-world, and random. The actual stock markets' properties are recovered by this model: high excess kurtosis, skewness, volatility clustering, random walk prices, and stationary return rates. The networks' topologies are found to impact both the structuration of investors in the space of strategies and their performance. Among other characteristics, we find that (i) the small-world networks show the highest degree of homophily; (ii) as investors can switch to more profitable strategies, the best approach to make profitable investments is the chartist one in Barabási and small-world topologies; and (iii) an unequal distribution and more significant relative wealth gains occur in the Barabási network. |
id |
UNSP_82cb871b8d11c4ede3d431fd8076ffaf |
---|---|
oai_identifier_str |
oai:repositorio.unesp.br:11449/222248 |
network_acronym_str |
UNSP |
network_name_str |
Repositório Institucional da UNESP |
repository_id_str |
2946 |
spelling |
The Influence of Confidence and Social Networks on an Agent-Based Model of Stock ExchangeThis paper aims to investigate the influence of investors' confidence in their portfolio holding relative to their social group and of various social network topologies on the dynamics of an artificial stock exchange. An investor's confidence depends on the growth rate of his or her wealth relative to his or her social group's average wealth. If the investor's confidence is low, the agent will change his or her asset allocation; otherwise, he or she will maintain it. We consider three types of social networks: Barabási, small-world, and random. The actual stock markets' properties are recovered by this model: high excess kurtosis, skewness, volatility clustering, random walk prices, and stationary return rates. The networks' topologies are found to impact both the structuration of investors in the space of strategies and their performance. Among other characteristics, we find that (i) the small-world networks show the highest degree of homophily; (ii) as investors can switch to more profitable strategies, the best approach to make profitable investments is the chartist one in Barabási and small-world topologies; and (iii) an unequal distribution and more significant relative wealth gains occur in the Barabási network.Department of Economics Sao Paulo State University (UNESP), SPDepartment of Management Technology and Economics ETH ZurichDepartment of Economics Sao Paulo State University (UNESP), SPUniversidade Estadual Paulista (UNESP)ETH ZurichBertella, Mario A. [UNESP]Silva, Jonathas N. [UNESP]Correa, André L. [UNESP]Sornette, Didier2022-04-28T19:43:34Z2022-04-28T19:43:34Z2021-01-01info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articlehttp://dx.doi.org/10.1155/2021/1083640Complexity, v. 2021.1099-05261076-2787http://hdl.handle.net/11449/22224810.1155/2021/10836402-s2.0-85112865761Scopusreponame:Repositório Institucional da UNESPinstname:Universidade Estadual Paulista (UNESP)instacron:UNESPengComplexityinfo:eu-repo/semantics/openAccess2022-04-28T19:43:34Zoai:repositorio.unesp.br:11449/222248Repositório InstitucionalPUBhttp://repositorio.unesp.br/oai/requestopendoar:29462024-08-05T21:56:06.445594Repositório Institucional da UNESP - Universidade Estadual Paulista (UNESP)false |
dc.title.none.fl_str_mv |
The Influence of Confidence and Social Networks on an Agent-Based Model of Stock Exchange |
title |
The Influence of Confidence and Social Networks on an Agent-Based Model of Stock Exchange |
spellingShingle |
The Influence of Confidence and Social Networks on an Agent-Based Model of Stock Exchange Bertella, Mario A. [UNESP] |
title_short |
The Influence of Confidence and Social Networks on an Agent-Based Model of Stock Exchange |
title_full |
The Influence of Confidence and Social Networks on an Agent-Based Model of Stock Exchange |
title_fullStr |
The Influence of Confidence and Social Networks on an Agent-Based Model of Stock Exchange |
title_full_unstemmed |
The Influence of Confidence and Social Networks on an Agent-Based Model of Stock Exchange |
title_sort |
The Influence of Confidence and Social Networks on an Agent-Based Model of Stock Exchange |
author |
Bertella, Mario A. [UNESP] |
author_facet |
Bertella, Mario A. [UNESP] Silva, Jonathas N. [UNESP] Correa, André L. [UNESP] Sornette, Didier |
author_role |
author |
author2 |
Silva, Jonathas N. [UNESP] Correa, André L. [UNESP] Sornette, Didier |
author2_role |
author author author |
dc.contributor.none.fl_str_mv |
Universidade Estadual Paulista (UNESP) ETH Zurich |
dc.contributor.author.fl_str_mv |
Bertella, Mario A. [UNESP] Silva, Jonathas N. [UNESP] Correa, André L. [UNESP] Sornette, Didier |
description |
This paper aims to investigate the influence of investors' confidence in their portfolio holding relative to their social group and of various social network topologies on the dynamics of an artificial stock exchange. An investor's confidence depends on the growth rate of his or her wealth relative to his or her social group's average wealth. If the investor's confidence is low, the agent will change his or her asset allocation; otherwise, he or she will maintain it. We consider three types of social networks: Barabási, small-world, and random. The actual stock markets' properties are recovered by this model: high excess kurtosis, skewness, volatility clustering, random walk prices, and stationary return rates. The networks' topologies are found to impact both the structuration of investors in the space of strategies and their performance. Among other characteristics, we find that (i) the small-world networks show the highest degree of homophily; (ii) as investors can switch to more profitable strategies, the best approach to make profitable investments is the chartist one in Barabási and small-world topologies; and (iii) an unequal distribution and more significant relative wealth gains occur in the Barabási network. |
publishDate |
2021 |
dc.date.none.fl_str_mv |
2021-01-01 2022-04-28T19:43:34Z 2022-04-28T19:43:34Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://dx.doi.org/10.1155/2021/1083640 Complexity, v. 2021. 1099-0526 1076-2787 http://hdl.handle.net/11449/222248 10.1155/2021/1083640 2-s2.0-85112865761 |
url |
http://dx.doi.org/10.1155/2021/1083640 http://hdl.handle.net/11449/222248 |
identifier_str_mv |
Complexity, v. 2021. 1099-0526 1076-2787 10.1155/2021/1083640 2-s2.0-85112865761 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
Complexity |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.source.none.fl_str_mv |
Scopus reponame:Repositório Institucional da UNESP instname:Universidade Estadual Paulista (UNESP) instacron:UNESP |
instname_str |
Universidade Estadual Paulista (UNESP) |
instacron_str |
UNESP |
institution |
UNESP |
reponame_str |
Repositório Institucional da UNESP |
collection |
Repositório Institucional da UNESP |
repository.name.fl_str_mv |
Repositório Institucional da UNESP - Universidade Estadual Paulista (UNESP) |
repository.mail.fl_str_mv |
|
_version_ |
1808129375037554688 |