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

Yong Shi, Bo Li and Guangle Du

Papers from arXiv.org

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 are 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.

Date: 2021-02, Revised 2021-02
New Economics Papers: this item is included in nep-cmp and nep-fmk
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2102.02179

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