Abstract
In this study, we consider the simple but typical artificial stock market model proposed by LeBaron, B. et al.: each trader makes decision by maximizing the same utility function. We constructed a multi-agents artificial market model and investigated the effect of control traders among traders on price shock transfer from one asset to the whole market. The model is composed of two sorts of asset: price stocks and its underlying stocks. Our simulation featured two types of agent: control trader and ordinary traders. Control trader, who owns enough wealth, can intervene in the trading behavior of the group by applying the trading rule: trade when the stock price deviates from preset value. The traders in the artificial stock market reproduce their stylized facts related mainly to information asymmetry and herd behavior, which reduces the volatility of the stock market. The implications for market rules are discussed. From simulations of various trading strategies of control traders, we found the stock price can be controlled by control traders with certain strategies. The simulation results demonstrate the effectiveness of the method.
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