The First International Conference on Complex Systems: Theory and Applications February 23-25, 2009, Shanghai

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Dynamic regimes of a multi-agent stock market model
Tongkui Yu (Department of Systems Science, Beijing Normal University), Honggang Li (Department of Systems Science, Beijing Normal University).

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

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