Dynamic Regimes of a Multi-agent Stock Market Model

This file is part of IDEAS, which uses RePEc data

Dynamic Regimes of a Multi-agent Stock Market Model

Author Info

Yu, Tongkui
Li, Honggang

Additional information is available for the following registered author(s):

Tongkui Yu

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.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

Publisher Info
Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 14339.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length:
Date of creation: Nov 2008
Date of revision:
Handle: RePEc:pra:mprapa:14339

Contact details of provider:
Postal: Schackstr. 4, D-80539 Munich, Germany
Phone: +49-(0)89-2180-2219
Fax: +49-(0)89-2180-3900
Web page: http://mpra.ub.uni-muenchen.de
More information through EDIRC

For technical questions regarding this item, or to correct its listing, contact: (Ekkehart Schlicht).

Find related papers by JEL classification:
G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
C62 - Mathematical and Quantitative Methods - - Mathematical Methods and Programming - - - Existence and Stability Conditions of Equilibrium

This paper has been announced in the following NEP Reports:

NEP-ALL-2009-04-05 (All new papers)
NEP-CMP-2009-04-05 (Computational Economics)

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

L. Sarno & M. P. Taylor, 2003. "An empirical investigation of asset price bubbles in Latin American emerging financial markets," Applied Financial Economics, Taylor and Francis Journals, vol. 13(9), pages 635-643, September. [Downloadable!] (restricted)
Gonzalez, Liliana & Powell, John G. & Shi, Jing & Wilson, Antony, 2005. "Two centuries of bull and bear market cycles," International Review of Economics & Finance, Elsevier, vol. 14(4), pages 469-486. [Downloadable!] (restricted)
Carl Chiarella, 1992. "The Dynamics of Speculative Behaviour," Working Paper Series 13, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Chris Brooks & Apostolos Katsaris, 2003. "Rational Speculative Bubbles: An Empirical Investigation of the London Stock Exchange," Bulletin of Economic Research, Blackwell Publishing, vol. 55(4), pages 319-346, October. [Downloadable!] (restricted)
Adrian R. Pagan & Kirill A. Sossounov, 2003. "A simple framework for analysing bull and bear markets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(1), pages 23-46. [Downloadable!]

Full references

Statistics
Access and download statistics

Did you know? Over 1000 institutions contribute their bibliographic data directly to this service.

This page was last updated on 2009-12-17.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.