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Heterogeneous Agents in Multi-markets: A Coupled Map Lattices Approach

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Author Info

  • Weihong HUANG

    (Division of Economics, Nanyang Technological University, Singapore 637332, Singapore)

  • Zhenxi CHEN

    (Division of Economics, Nanyang Technological University, Singapore 637332, Singapore)

Abstract

In this paper we examine assets price deviation in a multi-market system with heterogeneous investors in each market. Coupled map lattices (CML) is introduced to the market maker framework. It results in market cluster sharing the same sign of deviation in the chaotic interval. Distribution plots are applied to understand the deviation persistence enhancement from the coupling e¤ect. Besides that, external disturbance is employed to the system to examine the market pattern stability and the propagation of the disturbance. The goal of the paper is to introduce coupling e¤ect as a bridge for multi-market interactions with heterogeneous agents.

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Bibliographic Info

Paper provided by Nanyang Technolgical University, School of Humanities and Social Sciences, Economic Growth centre in its series Economic Growth centre Working Paper Series with number 1211.

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Length: 27 pages
Date of creation: Nov 2012
Date of revision:
Handle: RePEc:nan:wpaper:1211

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Keywords: Coupled map lattices; heterogeneous agents; multi-market interaction;

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  1. repec:att:wimass:9621 is not listed on IDEAS
  2. Carl Chiarella & Roberto Dieci & Laura Gardini, 2004. "Asset Price and Wealth Dynamics in a Financial Market with Heterogeneous Agents," Research Paper Series 134, Quantitative Finance Research Centre, University of Technology, Sydney.
  3. Chiarella, Carl & Dieci, Roberto & He, Xue-Zhong, 2007. "Heterogeneous expectations and speculative behavior in a dynamic multi-asset framework," Journal of Economic Behavior & Organization, Elsevier, vol. 62(3), pages 408-427, March.
  4. Xue-Zhong He & Frank H. Westerhoff, 2004. "Commodity Markets, Price Limiters and Speculative Price Dynamics," Research Paper Series 136, Quantitative Finance Research Centre, University of Technology, Sydney.
  5. Day, R. & Huang, W., 1988. "Bulls, Bears And Market Sheep," Papers m8822, Southern California - Department of Economics.
  6. Xue-Zhong He & Youwei Li, 2008. "Heterogeneity, convergence, and autocorrelations," Quantitative Finance, Taylor & Francis Journals, vol. 8(1), pages 59-79.
  7. Brock, William A. & Hommes, Cars H., 1998. "Heterogeneous beliefs and routes to chaos in a simple asset pricing model," Journal of Economic Dynamics and Control, Elsevier, vol. 22(8-9), pages 1235-1274, August.
  8. Xue-Zhong (Tony) He & Carl Chiarella, 2001. "Asset Price and Wealth Dynamics under Heterogeneous Expectations," CeNDEF Workshop Papers, January 2001 5A.2, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  9. Weihong HUANG & Zhenxi CHEN, 2012. "Regional Financial Markets With Common Currency," Economic Growth centre Working Paper Series 1210, Nanyang Technolgical University, School of Humanities and Social Sciences, Economic Growth centre.
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