Research Article
Dynamic Regimes of a Multi-agent Stock Market Model
654 downloads
@INPROCEEDINGS{10.1007/978-3-642-02469-6_78, author={Tongkui Yu and Honggang Li}, title={Dynamic Regimes of a Multi-agent Stock Market Model}, proceedings={Complex Sciences. First International Conference, Complex 2009, Shanghai, China, February 23-25, 2009, Revised Papers, Part 2}, proceedings_a={COMPLEX PART 2}, year={2012}, month={5}, keywords={multi-agent stock market model market dynamic regime bifurcation analysis}, doi={10.1007/978-3-642-02469-6_78} }- Tongkui Yu
Honggang Li
Year: 2012
Dynamic Regimes of a Multi-agent Stock Market Model
COMPLEX PART 2
Springer
DOI: 10.1007/978-3-642-02469-6_78
Abstract
This paper presents a stochastic multi-agent model of stock market. The market dynamics include switches between chartists and fundamentalists and switches in the prevailing opinions (optimistic or pessimistic) among chartists. A nonlinear dynamical system is derived to depict the underlying mechanisms of market evolvement. Under different settings of parameters representing traders’ mimetic contagion propensity, price chasing propensity and strategy switching propensity, the system exhibits four kinds of dynamic regimes: fundamental equilibrium, non-fundamental equilibrium, periodicity and chaos.
Copyright © 2009–2024 ICST
