Dynamic Regimes of a Multi-agent Stock Market Model

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. Key words: multi-agent stock market model, market dynamic regime, bifurcation analysis

• Type: Conference
• Year: 2009
• Where: COMPLEX
• Authors: Tongkui Yu, Honggang Li
• Keywords: COMPLEX 2009, Market Dynamic, Mimetic Contagion Propensity, Stock Market, Theoretical Computer Science