Agent-based Simulation of Wealth, Capital and Asset Distribution on Stock Markets

Abstract

This article presents an agent-based simulation model of a stock exchange functioning with consideration of its main mechanisms. By contrast with other similar models, this model considers a clearing price calculation by a turnover maximization. Given various types of agents’ behaviour patterns, set exogenously, we have explored the dynamics and characteristics of assets, capital and wealth distributions in time. We reveal what mechanisms drive asset price up or down and infer that static agents’ characteristics, whatever they are, quickly lead to a flat market. It is shown that independently of agents’ strategy wealth distribution becomes more and more positively skewed as time tends to infinity, to what we give a mathematical reasoning. Moreover, different behaviour patterns affect the speed of inequality growth, which is illustrated by Gini coefficient dynamics. We also analyze the revealed effects and give for them a mathematical explanation. JEL: C6, G1, I3, E3