英文标题：
《Wealth distribution across communities of adaptive financial agents》
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作者：
Pietro DeLellis, Franco Garofalo, Francesco Lo Iudice, Elena
  Napoletano
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最新提交年份：
2015
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英文摘要：
  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.
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中文摘要：
本文研究了一种新的基于代理的人工金融市场模型的交易量和财富分布。在该模型中，按照冯·诺依曼和摩根斯坦效用理论行事的异构代理可以相互作用。比较成功投资的托宾税（TT）和统一税，以评估对代理人财富分配的影响。我们在两种备选方案中进行了广泛的数值模拟：i）参考方案，其中代理保持其效用函数不变；ii）焦点方案，其中代理在社区中具有自适应性和自组织性，通过更新自己的效用函数来模拟其邻居。具体来说，通过一个有向无标度网络对代理之间的交互进行建模，以说明社区领袖的存在，并根据参考场景测试羊群效应。我们观察到，我们的模型能够复制两种税收制度的优点和缺点，而且代理人之间的相互作用强烈地影响着整个社区的财富分配。值得注意的是，这些社区受益于拥有成功贸易策略的领导人的存在，并且更有可能增加他们的平均财富。此外，这种模拟机制缓解了交易量的减少，这是TTs的一个典型缺点。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：General Finance        一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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一级分类：Physics        物理学
二级分类：Adaptation and Self-Organizing Systems        自适应和自组织系统
分类描述：Adaptation, self-organizing systems, statistical physics, fluctuating systems, stochastic processes, interacting particle systems, machine learning
自适应，自组织系统，统计物理，波动系统，随机过程，相互作用粒子系统，机器学习
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一级分类：Physics        物理学
二级分类：Physics and Society        物理学与社会
分类描述：Structure, dynamics and collective behavior of societies and groups (human or otherwise). Quantitative analysis of social networks and other complex networks. Physics and engineering of infrastructure and systems of broad societal impact (e.g., energy grids, transportation networks).
社会和团体（人类或其他）的结构、动态和集体行为。社会网络和其他复杂网络的定量分析。具有广泛社会影响的基础设施和系统（如能源网、运输网络）的物理和工程。
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