Agent-based Modeling On Traders' Imitation Behavior In Stock Market

The economic system is a complex adaptive system, it makes up with many agents in different hierarchies affecting, learning and competing each other. The complexity of the economic system leads to many nonlinear phenomena that cannot be explained by traditional econometrics. The emerging of new theories brings new tools for economics study, such as fractal, chaos and nonlinear dynamics, etc. But these tools do not break up the traditional pattern, which studies economics by analyzing time series.In the last decades, the agent-base modeling was introduced into economic studies. Agent-base modeling builds agents in the micro level to conclude macro effects, which is a bottom-up method. And the Complex Adaptive System (CAS) theory is its theoretical foundation. The basic concept of CAS is adaptive agent. Agent follows IF-THEN method when interacting with environment. Adaptive agent changes its behavior according the effectiveness of acts to survive. The core idea of CAS theory is: adaptability makes complexity. Therefore, to study complex system can start with adaptive agents that consist it.The Minority Game (MG) model has an important application in the agent-based modeling of complex adaptive system. MG model describes a continuous game of agents with odd numbers, at each time step an agent much choose to stand one of two sides and the minority group win. Since MG model is very easy to understand, it masters the key feature of agents with boundary rationality contesting for limit resources in economic society. It is recognized that economic society is a complex system. The application of CAS theory in the study of economic society is based on the courageous hypothesis: The complexity of economic society is emerged from some simple rules, so we can study the long-running interaction of these rules to reveal the complexity.We build a simulation stock market based on MG model in this paper. And each agent has the capability to imitate others behaviors. Also we study the relationship of the popularity of imitation behavior and the macro factors of stock market such as effectiveness and risk. The creativity of this paper is to simulate the imitation behavior based on MG model using agent-based modeling method, and implement and analyze it with the RePast simulation toolkit.