The Effect of Heterogeneous Interactions Among Traders in an Artificial Stock Market

In financial market, one of complex systems, there is highly nonlinear interaction between heterogeneous traders. Due to this nonlinear interaction, emergent behavior, which is so called ‘stylized facts' occurs in financial market. To understand impact of interaction between heterogeneous traders in financial market, we propose an agent based model, consisting of heterogeneous agents such as fundamentalist, optimist, and pessimist and interaction between them. Fundamentalist who uses the fundamental value of market play a role of stabilizing market, whereas optimist and pessimist they are called by chartist having an investment strategy dominated by the trend of past price has a role of destabilizing market. Optimist (pessimist) forecasts future price will be larger (smaller) than current price. These three type agents change their own types into other types using herding and relative payoff strategy. We consider the topology of interaction between traders using complex network that are constructed by the regular, random, small world and scale-free network. We find that there were observed ‘stylized facts' such as power-law tails and long memory property of volatility in scale free network. These results support that the heterogeneous and power-law scaling of interaction between traders would be the source of ‘stylized facts' in financial market