Heterogeneous Agents in Multi-markets: A Coupled Map Lattices Approach

Weihong Huang () and Zhenxi Chen

No 1211, Economic Growth Centre Working Paper Series from Nanyang Technological University, School of Social Sciences, Economic Growth Centre

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 e¤ect. 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 e¤ect 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)
Pages: 27 pages
Date: 2012-11
New Economics Papers: this item is included in nep-sea
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Citations: View citations in EconPapers (3)

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