Mathew Effect in Artificial Stock Market

TL;DR

This paper models an artificial stock market with agents whose investment decisions depend on their expectations and psychological factors, revealing that wealth distribution becomes increasingly unequal over time.

Contribution

It introduces a new agent-based stock market model incorporating psychological behaviors and demonstrates the emergence of the Matthew effect in asset distribution.

Findings

We observe a clear Matthew effect in asset distribution.

Asset inequality intensifies with longer system operation.

Market size and agent activity amplify wealth disparity.

Abstract

In this article, we established a stock market model based on agents' investing mentality. The agents decide whether to purchase the shares at the probability, according to their anticipation of the market's behaviors. The expectation of the amount of shares they want to buy is directly proportional to the value of asset they hold. The agents sell their shares because of the gaining-profit psychology, stopping-loss psychology, or dissatisfaction with the long-time congealing of the assets. We studied how the distribution of agent's assets varies along with systemic evolution. The experiments show us obvious Mathew effect on asset distribution in the artificial stock market, and we have found that the Mathew effect on asset distribution was more and more salient along with the increasing of system running time, stock market size and agents' activity extent.