Is an investor stolen their profits by mimic investors? Investigated by an agent-based model

TL;DR

Earnings of AAs when AAs increased were investigated and it was found that in the case with increasing AFAs, market prices are made stable that leads to decrease their profits and in the case with increasing ATAs, market prices are made unstable that leads to gain their profits more.

Abstract

Some investors say increasing investors with the same strategy decreasing their profits per an investor. On the other hand, some investors using technical analysis used to use same strategy and parameters with other investors, and say that it is better. Those argues are conflicted each other because one argues using with same strategy decreases profits but another argues it increase profits. However, those arguments have not been investigated yet. In this study, the agent-based artificial financial market model(ABAFMM) was built by adding "additional agents"(AAs) that includes additional fundamental agents (AFAs) and additional technical agents (ATAs) to the prior model. The AFAs(ATAs) trade obeying simple fundamental(technical) strategy having only the one parameter. We investigated earnings of AAs when AAs increased. We found that in the case with increasing AFAs, market prices are made stable that leads to decrease their profits. In the case with increasing ATAs, market prices are made unstable that leads to gain their profits more.

Figures (5)

• Figure 1: Timing of AAs placing orders.
• Figure 2: Time evolution of market prices $P^t$ without an AA, with 99 AFAs and 99 ATAs.
• Figure 3: The average of final profits and number of trades of AAs for $n_a$.
• Figure 4: Mechanism of AFAs stabilizing markets.
• Figure 5: Mechanism of ATAs unstabilize markets.