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Multi-Asset Market Dynamics

Author

Listed:
  • Frank Westerhoff

Abstract

This paper explores multiasset market dynamics. We consider a limited number of markets on which two types of agents are active. Fundamentalists specialize in a certain market to gather expertise. Chartists may switch between markets since they use simple extrapolative methods. Specifically, chartists prefer markets that display price trends but that are not too misaligned. The interaction between the traders causes complex dynamics. Even in the absence of random shocks, our artificial markets mimic the behavior of actual asset markets closely. Our model also offers reasons for the high degree of comovements in stock prices observed empirically.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Frank Westerhoff, 2003. "Multi-Asset Market Dynamics," Computing in Economics and Finance 2003 88, Society for Computational Economics.
    • Handle: RePEc:sce:scecf3:88
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    Keywords

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    JEL classification:

    • D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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