مدل‌سازي عامل‌بنيان رفتار سهامداران در بازار اوراق بهادار تهران (مورد مطالعه: شركت فولاد مباركه اصفهان)

Agent-based Modeling Behavior of Traders in Tehran Stock Exchange (Case study: Mobarakeh Esfahan Steel Company)

ﯾﮑﯽ از ﻣﻔﺮوﺿﺎت ﮐﺎراﯾﯽ ﺑﺎزار ﺳﺮﻣﺎﯾﻪ اﯾﻦ اﺳﺖ ﮐﻪ ﺳﺮﻣﺎﯾﻪﮔﺬاران ﺑﻪ ﻃﻮر ﻣﻨﻄﻘﯽ ﻋﻤﻞ ﻣﯽﮐﻨﻨـﺪ، وﻟـﯽ ﻧﺘﺎﯾﺞ ﭘﮋوﻫﺶﻫﺎي ﻣﺤﻘﻘﺎن ﻧﺸﺎن ﻣﯽدﻫﺪ در ﺑﺴﯿﺎري از ﻣﻮارد ﺳﺮﻣﺎﯾﻪﮔﺬاران در ﺑﺎزار اوراق ﺑﻬﺎدار داراي رﻓﺘﺎر ﻏﯿﺮ ﻣﻨﻄﻘﯽ ﻣﯽﺑﺎﺷﻨﺪ ﮐﻪ از اﯾﻦ ﺣﯿﺚ ﻣﻘﺎﻟﻪ ﺣﺎﺿﺮ ﻧﯿﺰ رﻓﺘﺎر ﻏﯿﺮ ﻣﻨﻄﻘﯽ را در ﺑﺮﺧـﯽ ﺳـﻬﺎﻣﺪاران ﻧﺸﺎن ﻣﯽدﻫﺪ. در ﻣﻘﺎﻟﻪ ﺣﺎﺿﺮ دو ﻧﻮع ﺷﺨﺼﯿﺖ ﺑﺮاي ﺳﻬﺎﻣﺪاران در ﺑﻮرس اوراق ﺑﻬﺎدار در ﻧﻈﺮ ﮔﺮﻓﺘﻪ ﺷﺪه اﺳﺖ. اوﻟﯿﻦ ﮔﺮوه داراي ﺷﺨﺼـﯿﺖ آﻧﯽﮔـﺮ و ﮔـﺮوه دوم داراي ﺷﺨﺼـﯿﺖ ﻧﻮﺳـﺎنﮔﯿﺮ ﻣﯽﺑﺎﺷـﻨﺪ. ﻣﻌﺎﻣﻠﻪﮔﺮاﻧﯽ ﮐﻪ داراي ﺷﺨﺼﯿﺖ آﻧﯽﮔﺮ ﻫﺴﺘﻨﺪ ﺑﺎ اﻓﺰاﯾﺶ ﻗﯿﻤﺖ ﺳﻬﺎم ﺑﻪ ﺧﺮﯾﺪ ﺳﻬﺎم ﻣﺒﺎدرت و ﺑﺎ ﮐﺎﻫﺶ ﻗﯿﻤﺖ ﺑﻪ ﻓﺮوش اﻗﺪام ﻣﯽﻧﻤﺎﯾﻨﺪ. در ﻧﻘﻄﻪ ﻣﻘﺎﺑﻞ، ﻧﻮﺳﺎنﮔﯿﺮﻫﺎﯾﯽ ﻫﺴﺘﻨﺪ ﮐﻪ ﺑﺎ ﮐﺎﻫﺶ ﻗﯿﻤﺖ ﺑﻪ ﺧﺮﯾﺪ ﮔﺮوﻫﯽ روي آورده و ﺑﺎ اﻓﺰاﯾﺶ ﻗﯿﻤﺖ ﺳﻬﺎم ﺑﻪ ﻓﺮوش اﻗﺪام ﻣﯽﻧﻤﺎﯾﻨﺪ. ﻧﻮآوري ﭘﮋوﻫﺶ ﺣﺎﺿﺮ، اراﺋﻪ ﻣﺪﻟﯽ ﭘﻮﯾﺎ ﺑﺮاي ﺗﺤﻠﯿﻞ رﻓﺘﺎر ﺳﺮﻣﺎﯾﻪﮔﺬاران ﺑﺎ در ﻧﻈﺮ ﮔﺮﻓﺘﻦ ﻣﺪلﺳﺎزي ﻋﺎﻣﻞ ﺑﻨﯿﺎن رﻓﺘـﺎر ﺳـﻬﺎﻣﺪاران و در ﻧﻈـﺮ ﮔﺮﻓﺘﻦ وﯾﮋﮔﯽﻫﺎي ﺷﺨﺼﯿﺘﯽ ﻣﺘﻨﻮع اﯾﺸﺎن و ﺗﺤﻠﯿﻞ ﺣﺴﺎﺳﯿﺖ رﻓﺘﺎر ﻣﻌﺎﻣﻠﻪﮔﺮي ﺗﺤﺖ ﻣﺤﯿﻂ ﻧﺮماﻓﺰاري ﻧﺖ ﻟﮕﻮ اﺳﺖ. در ﻧﻬﺎﯾﺖ، ﻣﺪل ﭘﺲ از ﻃﺮاﺣﯽ ﻣﻮرد اﻋﺘﺒﺎرﺳﻨﺠﯽ و ﺑﺮازش ﻗﺮار ﮔﺮﻓﺖ ﮐﻪ ﻧﺘﺎﯾﺞ ﺣﺎﮐﯽ از اﻋﺘﺒﺎر ﺑﺎﻻي ﻣﺪل ﻃﺮاﺣﯽ ﺷﺪه در ﻣﺤﯿﻂ ﺷﺒﯿﻪﺳﺎزي اﺳﺖ. ﻧﺘﺎﯾﺞ ﭘﮋوﻫﺶ ﻧﺸﺎن ﻣﯽدﻫﺪ، درﺻﺪ ﺳﻬﺎﻣﺪاران ﺑﺎ ﺷﺨﺼﯿﺖ ﻧﻮﺳﺎنﮔﯿﺮ و ﻫﯿﺠﺎﻧﯽ در ﺗﻌﺎدل ﻗﯿﻤﺘﯽ ﺑﻪ ﺗﺮﺗﯿﺐ ﺑﻪ 52 و 48 درﺻﺪ ﺑﯿﻦ ﺳﻬﺎﻣﺪاران ﻫﯿﺠﺎﻧﯽ و ﻧﻮﺳﺎنﮔﯿﺮ ﺗﻮزﯾﻊ ﺷﺪه اﺳﺖ.

One of the efficiency assumptions of stock market is that investors act rationally, but the results of researchers' scholars show that in many cases, investors in the stock market have irrational behavior. The present study show irrational behavior. In the present article, two types of personalities are considered for shareholders in the stock market. The first group has an impulsivity personality and the second group has an oscillating personality. Traders who have an impulsivity personality buy stocks when prices increased and sold when prices decreased. On the other hand, there are oscillators who buy when prices dropped and sold when prices increased. The innovation of the present study is to provide a dynamic model for analyzing the behavior of investors by agent-based modeling and considering their various personalities of trader’s behavior in NetLogo software environment. Finally, after designed model, the validity of the model is assessed which results indicate high validity of the designed model in the simulation environment. The results show that the percentage of shareholders with oscillating and impulsivity personality in the price balance is distributed to 52% and 48% between impulsivity and oscillating shareholders.