Wealth distribution across communities of adaptive financial agents
This paper studies the trading volumes and wealth distribution of a novel agent-based model of an artificial financial market. In this model, heterogeneous agents, behaving according to the Von Neumann and Morgenstern utility theory, may mutually interact. A Tobin-like tax (TT) on successful investm...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
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IOP Publishing
2015-01-01
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| Series: | New Journal of Physics |
| Subjects: | |
| Online Access: | https://doi.org/10.1088/1367-2630/17/8/083003 |
| _version_ | 1797751124277592064 |
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| author | Pietro DeLellis Franco Garofalo Francesco Lo Iudice Elena Napoletano |
| author_facet | Pietro DeLellis Franco Garofalo Francesco Lo Iudice Elena Napoletano |
| author_sort | Pietro DeLellis |
| collection | DOAJ |
| description | This paper studies the trading volumes and wealth distribution of a novel agent-based model of an artificial financial market. In this model, heterogeneous agents, behaving according to the Von Neumann and Morgenstern utility theory, may mutually interact. A Tobin-like tax (TT) on successful investments and a flat tax are compared to assess the effects on the agents’ wealth distribution. We carry out extensive numerical simulations in two alternative scenarios: (i) a reference scenario , where the agents keep their utility function fixed, and (ii) a focal scenario , where the agents are adaptive and self-organize in communities, emulating their neighbours by updating their own utility function. Specifically, the interactions among the agents are modelled through a directed scale-free network to account for the presence of community leaders, and the herding-like effect is tested against the reference scenario. We observe that our model is capable of replicating the benefits and drawbacks of the two taxation systems and that the interactions among the agents strongly affect the wealth distribution across the communities. Remarkably, the communities benefit from the presence of leaders with successful trading strategies, and are more likely to increase their average wealth. Moreover, this emulation mechanism mitigates the decrease in trading volumes, which is a typical drawback of TTs. |
| first_indexed | 2024-03-12T16:42:52Z |
| format | Article |
| id | doaj.art-c5dfbb1acce6416db62c7b2c1759ce9a |
| institution | Directory Open Access Journal |
| issn | 1367-2630 |
| language | English |
| last_indexed | 2024-03-12T16:42:52Z |
| publishDate | 2015-01-01 |
| publisher | IOP Publishing |
| record_format | Article |
| series | New Journal of Physics |
| spelling | doaj.art-c5dfbb1acce6416db62c7b2c1759ce9a2023-08-08T14:22:11ZengIOP PublishingNew Journal of Physics1367-26302015-01-0117808300310.1088/1367-2630/17/8/083003Wealth distribution across communities of adaptive financial agentsPietro DeLellis0Franco Garofalo1Francesco Lo Iudice2Elena Napoletano3Department of Electrical Engineering and Information Technology, University of Naples Federico II , Via Claudio 21, I-80125, Naples, ItalyDepartment of Electrical Engineering and Information Technology, University of Naples Federico II , Via Claudio 21, I-80125, Naples, ItalyDepartment of Electrical Engineering and Information Technology, University of Naples Federico II , Via Claudio 21, I-80125, Naples, ItalyDepartment of Electrical Engineering and Information Technology, University of Naples Federico II , Via Claudio 21, I-80125, Naples, ItalyThis paper studies the trading volumes and wealth distribution of a novel agent-based model of an artificial financial market. In this model, heterogeneous agents, behaving according to the Von Neumann and Morgenstern utility theory, may mutually interact. A Tobin-like tax (TT) on successful investments and a flat tax are compared to assess the effects on the agents’ wealth distribution. We carry out extensive numerical simulations in two alternative scenarios: (i) a reference scenario , where the agents keep their utility function fixed, and (ii) a focal scenario , where the agents are adaptive and self-organize in communities, emulating their neighbours by updating their own utility function. Specifically, the interactions among the agents are modelled through a directed scale-free network to account for the presence of community leaders, and the herding-like effect is tested against the reference scenario. We observe that our model is capable of replicating the benefits and drawbacks of the two taxation systems and that the interactions among the agents strongly affect the wealth distribution across the communities. Remarkably, the communities benefit from the presence of leaders with successful trading strategies, and are more likely to increase their average wealth. Moreover, this emulation mechanism mitigates the decrease in trading volumes, which is a typical drawback of TTs.https://doi.org/10.1088/1367-2630/17/8/083003artificial financial marketsagent-based modelsheterogeneous agentsscale-free networksherding effect |
| spellingShingle | Pietro DeLellis Franco Garofalo Francesco Lo Iudice Elena Napoletano Wealth distribution across communities of adaptive financial agents New Journal of Physics artificial financial markets agent-based models heterogeneous agents scale-free networks herding effect |
| title | Wealth distribution across communities of adaptive financial agents |
| title_full | Wealth distribution across communities of adaptive financial agents |
| title_fullStr | Wealth distribution across communities of adaptive financial agents |
| title_full_unstemmed | Wealth distribution across communities of adaptive financial agents |
| title_short | Wealth distribution across communities of adaptive financial agents |
| title_sort | wealth distribution across communities of adaptive financial agents |
| topic | artificial financial markets agent-based models heterogeneous agents scale-free networks herding effect |
| url | https://doi.org/10.1088/1367-2630/17/8/083003 |
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