Presentation Information
[N-1-31]Relationship between price fluctuations and collective exit phenomena in a self-organized speculation game
◎△Ryota Watanabe1, Koujin Takeda1 (1. Ibaraki Univ.)
Keywords:
Agent-based model,Econophysics,Complex systems,Financial market model,Nonlinear dynamics
Large price fluctuations are observed in financial markets, and understanding their mechanism is an important issue. Agent-based models are used to study such phenomena through interactions among market participants. In this study, we examine how large price-return fluctuations affect market exits in the self-organized speculation game, which applies the concept of self-organized criticality from the Bak-Tang-Wiesenfeld sandpile model. In this model, new participants enter the market over time, while participants whose assets fall below a threshold after trading exit the market. Through simulations, we compared exits after large price-return fluctuations with those during normal periods. The results show that market exits tend to increase after large fluctuations. This effect is strongest in one-time step after the fluctuation, rather than at the same time. We also found that more extreme fluctuations are associated with larger increases in exits, while the effect weakens over time. These results suggest that large price fluctuations should be understood not only as price-series phenomena, but also in relation to the dynamics of market participants.