Abstract
This paper builds an evolution model of investors behavior based on the reinforcement learning in multiplex networks. Due to the heterogeneity of learning characteristics of bounded rational investors in investment decisions, we consider, respectively, the evolution mechanism of individual investors and institutional investors on the complex network theory and reinforcement learning theory. We perform mathematical analysis and simulation to further explain the evolution characteristics of investors behavior. The conclusions are drawn as follows: First, the intensity of returns competition among institutional investors and the forgetting effect both have an impact on the equilibrium of their evolution as to all institutional investors and individual investors. Second, the network topology significantly affects the behavioral evolution of individual investors compared with institutional investors.
Highlights
At present, some scholars have analyzed the topological structure of financial network through using actual financial data and found that these financial networks have the characteristics including disassortative architectures [16], small-world properties [17], power-law degree distribution [18,19,20], and community structure [21, 22]. rough the study on the network structure, some scholars further analyzed the investment behavior in the financial network
We analyze the decision-making mechanism of individual investors and institutional investors on the theories of complex networks and reinforcement learning and construct the evolution model of investors behavior based on the reinforcement learning in network. en, the evolution characteristics of investors behavior are investigated by mean-field analysis and simulations. e conclusions are drawn as follows: (1) the topology of the network has a greater influence on the evolution of the individual investor behavior than that of the institutional investor. (2) e equilibrium state of institutional investors behavior is in nonlinear correlation with the intensity of returns competition among institutional investors
Moderate competition for returns among institutional investors is conducive to the stability of the stock market
Summary
Due to factors such as information asymmetry, the professionalism of investors, and differences in investment goals [44, 45], bounded rational investors are less likely to make optimal decisions only by observing the current stock market conditions. In view of the differences between individual investors and institutional investors in investment decisionmaking, the learning strategies of investment behavior evolution of institutional investors and individual investors are constructed, respectively. It can be assumed that there are ni, buyers, ni,−1 sellers, and ni,0 holders of institutional investors associated with investor i, and ni,1 + ni,−1 + ni,0 ni. It can be assumed that, among the individual investors associated with investor i, there are mi, buyers, mi,−1 sellers, and mi,0 holders, and mi,1 + mi,−1 + mi,0 mi
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