Market behaviors and dynamic evolution on heterogeneous agent clusters

Linrong Dong

Physica A: Statistical Mechanics and its Applications, 2007, vol. 376, issue C, 573-578

Abstract: Financial markets consist of agent clusters with different sizes and orientations (buy or sell). When two heterogeneous agent clusters encounter, an exchange occurs; while two homogeneous ones meet, they may merge into a bigger one. We propose a heterogeneous agent interacting herding model, by introducing a parameter, reliability k, thus leading to the asymmetry of the action of trading and incorporating. Numerical calculation shows that the artificial market dynamics changes significantly when varying reliability. For a specific k, the dynamics exhibit some behaviors very close to real markets.

Keywords: Heterogeneous agent cluster; Reliability; Herding model; Dynamic behavior (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:376:y:2007:i:c:p:573-578

DOI: 10.1016/j.physa.2006.10.066

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