Heterogeneous agents in multi-markets: A coupled map lattices approach

Weihong Huang and Zhenxi Chen

Mathematics and Computers in Simulation (MATCOM), 2015, vol. 108, issue C, 3-15

Abstract: In this paper we examine assets price deviation in a multi-market system with heterogeneous investors in each market. Coupled map lattices (CML) is introduced to the market maker framework. It results in market cluster sharing the same sign of deviation in the chaotic interval. Distribution plots are applied to understand the deviation persistence enhancement from the coupling effect. Besides that, external disturbance is employed to the system to examine the market pattern stability and the propagation of the disturbance. The goal of the paper is to introduce coupling effect as a bridge for multi-market interactions with heterogeneous agents.

Keywords: Coupled map lattices; Heterogeneous agents; Multi-market interaction (search for similar items in EconPapers)
JEL-codes: C61 G12 G15 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378475413002814
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:108:y:2015:i:c:p:3-15

DOI: 10.1016/j.matcom.2013.10.004

Access Statistics for this article

Mathematics and Computers in Simulation (MATCOM) is currently edited by Robert Beauwens

More articles in Mathematics and Computers in Simulation (MATCOM) from Elsevier
Bibliographic data for series maintained by Catherine Liu ().