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Dynamic Regimes of a Multi-agent Stock Market Model

Author

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  • Yu, Tongkui
  • Li, Honggang

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.

Suggested Citation

  • Yu, Tongkui & Li, Honggang, 2008. "Dynamic Regimes of a Multi-agent Stock Market Model," MPRA Paper 14339, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:14339
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    File URL: https://mpra.ub.uni-muenchen.de/14347/1/MPRA_paper_14347.pdf
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    References listed on IDEAS

    as
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    Cited by:

    1. Francis, Bill B. & Hasan, Iftekhar & John, Kose & Waisman, Maya, 2016. "Urban Agglomeration and CEO Compensation," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 51(06), pages 1925-1953, December.
    2. Вороновицкий М.М., 2014. "Агент - Ориентированная Модель Замкнутого Однотоварного Рынка," Журнал Экономика и математические методы (ЭММ), Центральный Экономико-Математический Институт (ЦЭМИ), vol. 50(2), pages 73-87, апрель.

    More about this item

    Keywords

    multi-agent stock market model; market dynamic regime; bifurcation analysis;

    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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