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.
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© 2009 ICST Institute for Computer Science, Social Informatics and Telecommunications Engineering
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Yu, T., Li, H. (2009). Dynamic Regimes of a Multi-agent Stock Market Model. In: Zhou, J. (eds) Complex Sciences. Complex 2009. Lecture Notes of the Institute for Computer Sciences, Social Informatics and Telecommunications Engineering, vol 5. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-02469-6_78
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DOI: https://doi.org/10.1007/978-3-642-02469-6_78
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