Dynamic Regimes of a Multi-agent Stock Market Model
AbstractThis 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.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 14339.
Date of creation: Nov 2008
Date of revision:
multi-agent stock market model; market dynamic regime; bifurcation analysis;
Find related papers by JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- C62 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Existence and Stability Conditions of Equilibrium
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