Wealth Share Analysis with “Fundamentalist/Chartist” Heterogeneous Agents

Author:

Xu Hai-Chuan12ORCID,Zhang Wei12,Xiong Xiong12,Zhou Wei-Xing345

Affiliation:

1. Collage of Management and Economics, Tianjin University, Tianjin 300072, China

2. China Center for Social Computing and Analytics, Tianjin University, Tianjin 300072, China

3. School of Business, East China University of Science and Technology, Shanghai 200237, China

4. Department of Mathematics, East China University of Science and Technology, Shanghai 200237, China

5. Research Center for Econophysics, East China University of Science and Technology, Shanghai 200237, China

Abstract

We build a multiassets heterogeneous agents model with fundamentalists and chartists, who make investment decisions by maximizing the constant relative risk aversion utility function. We verify that the model can reproduce the main stylized facts in real markets, such as fat-tailed return distribution and long-term memory in volatility. Based on the calibrated model, we study the impacts of the key strategies’ parameters on investors’ wealth shares. We find that, as chartists’ exponential moving average periods increase, their wealth shares also show an increasing trend. This means that higher memory length can help to improve their wealth shares. This effect saturates when the exponential moving average periods are sufficiently long. On the other hand, the mean reversion parameter has no obvious impacts on wealth shares of either type of traders. It suggests that no matter whether fundamentalists take moderate strategy or aggressive strategy on the mistake of stock prices, it will have no different impact on their wealth shares in the long run.

Funder

National Natural Science Foundation of China

Publisher

Hindawi Limited

Subject

Applied Mathematics,Analysis

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