Dynamic Regimes of a Multi-agent Stock Market Model

Tongkui Yu () and Honggang Li

MPRA Paper from University Library of Munich, Germany

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.

Keywords: multi-agent stock market model; market dynamic regime; bifurcation analysis (search for similar items in EconPapers)
JEL-codes: C62 G12 (search for similar items in EconPapers)
Date: 2008-11
New Economics Papers: this item is included in nep-cmp
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Citations: View citations in EconPapers (2)

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https://mpra.ub.uni-muenchen.de/14347/1/MPRA_paper_14347.pdf revised version (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:14339

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