Abstract: This paper, employing a computational experimental approach, constructs an artificial Bitcoin market comprising whale traders, trend-following traders, and noise traders, and investigates the mechanism through which investor attention allocation affects wealth distribution. The findings reveal that the artificial Bitcoin market exhibits stylized features consistent with the real Bitcoin market, such as leptokurtic returns and volatility clustering. Over time, investor wealth distribution evolves from a relatively equal state to a relatively unequal one, ultimately displaying a “rich-get-richer” phenomenon. Exogenous shocks affecting investor attention allocation further exacerbate wealth inequality. Robustness analyses show that these conclusions hold even when varying the proportion of exogenous shocks, the proxies for exogenous shocks, the share of whale traders, and the proportion of noise traders. This paper not only expands the research boundaries on the market impact of investor attention allocation but also provides a new perspective for understanding the dynamics of investor wealth distribution.

Key words: artificial Bitcoin market, attention allocation, wealth distribution, stylized features, whale traders

摘要： 本文通过计算实验方法构建包含巨鲸交易者、趋势交易者和噪声交易者的人工比特币市场，并基于该市场研究关注度分配对财富分布的影响机制。研究发现：人工比特币市场的收益率具有尖峰厚尾、波动性聚集等与真实比特币市场一致的格式化特征；随着市场持续运行，投资者财富分布从相对平等状态向相对不平等状态演化，最终呈现“富者愈富”现象；影响投资者关注度分配的外生冲击事件会加剧财富不平等程度。进一步研究表明，上述结论在改变外生冲击事件占比、外生冲击事件代理变量、巨鲸交易者占比以及噪声交易者占比后仍然保持稳健。本文既拓展了投资者关注度分配的市场影响研究边界，也为理解投资者财富分布的形成机制提供了新的分析视角。

关键词: 人工比特币市场, 关注度分配, 财富分布, 格式化特征, 巨鲸交易者