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Market behaviors and dynamic evolution on heterogeneous agent clusters

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  • Dong, Linrong

Abstract

Financial markets consist of agent clusters with different sizes and orientations (buy or sell). When two heterogeneous agent clusters encounter, an exchange occurs; while two homogeneous ones meet, they may merge into a bigger one. We propose a heterogeneous agent interacting herding model, by introducing a parameter, reliability k, thus leading to the asymmetry of the action of trading and incorporating. Numerical calculation shows that the artificial market dynamics changes significantly when varying reliability. For a specific k, the dynamics exhibit some behaviors very close to real markets.

Suggested Citation

  • Dong, Linrong, 2007. "Market behaviors and dynamic evolution on heterogeneous agent clusters," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 376(C), pages 573-578.
    • Handle: RePEc:eee:phsmap:v:376:y:2007:i:c:p:573-578
    DOI: 10.1016/j.physa.2006.10.066
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    Cited by:

    1. Kukacka, Jiri & Barunik, Jozef, 2013. "Behavioural breaks in the heterogeneous agent model: The impact of herding, overconfidence, and market sentiment," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(23), pages 5920-5938.

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