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Intermittent chaos in a model of financial markets with heterogeneous agents

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  • Taisei Kaizoji

Abstract

In this paper we study the price dynamics in a simple model of financial markets with heterogeneous agents. We concentrate on how increases in the total number of active traders influences fluctuations of asset prices. We find that a curious route to chaos is observed when the total number of [active traders] increases. Particularly, we show that {\it intermittent chaos} [1] of price fluctuations is observed as the total number of trader increases.

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  • Taisei Kaizoji, 2003. "Intermittent chaos in a model of financial markets with heterogeneous agents," Papers nlin/0312065, arXiv.org.
  • Handle: RePEc:arx:papers:nlin/0312065
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    File URL: http://arxiv.org/pdf/nlin/0312065
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    References listed on IDEAS

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    1. 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.
    2. Lux, Thomas, 1998. "The socio-economic dynamics of speculative markets: interacting agents, chaos, and the fat tails of return distributions," Journal of Economic Behavior & Organization, Elsevier, vol. 33(2), pages 143-165, January.
    3. Day, Richard H. & Huang, Weihong, 1990. "Bulls, bears and market sheep," Journal of Economic Behavior & Organization, Elsevier, vol. 14(3), pages 299-329, December.
    4. Chen, Shu-Heng & Yeh, Chia-Hsuan, 2001. "Evolving traders and the business school with genetic programming: A new architecture of the agent-based artificial stock market," Journal of Economic Dynamics and Control, Elsevier, vol. 25(3-4), pages 363-393, March.
    5. Chiarella, Carl & Dieci, Roberto & Gardini, Laura, 2002. "Speculative behaviour and complex asset price dynamics: a global analysis," Journal of Economic Behavior & Organization, Elsevier, vol. 49(2), pages 173-197, October.
    6. Lux, Thomas, 1995. "Herd Behaviour, Bubbles and Crashes," Economic Journal, Royal Economic Society, vol. 105(431), pages 881-896, July.
    7. Brock, W.A. & Hommes, C.H., 1997. "Models of Compelxity in Economics and Finance," Working papers 9706, Wisconsin Madison - Social Systems.
    8. Gallas, Jason A. C. & Nusse, Helena E., 1996. "Periodicity versus chaos in the dynamics of cobweb models," Journal of Economic Behavior & Organization, Elsevier, vol. 29(3), pages 447-464, May.
    9. Taisei Kaizoji, 2003. "Speculative bubbles and fat tail phenomena in a heterogeneous agent model," Papers nlin/0312040, arXiv.org.
    10. Hommes, Cars H., 1994. "Dynamics of the cobweb model with adaptive expectations and nonlinear supply and demand," Journal of Economic Behavior & Organization, Elsevier, vol. 24(3), pages 315-335, August.
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    Cited by:

    1. Doris Neuberger & Roger Rissi, 2014. "Macroprudential Banking Regulation: Does One Size Fit All?," Journal of Banking and Financial Economics, University of Warsaw, Faculty of Management, vol. 1(1), pages 5-28, May.

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