𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Intermittent chaos in a model of financial markets with heterogeneous agents

✍ Scribed by Taisei Kaizoji

Publisher
Elsevier Science
Year
2004
Tongue
English
Weight
277 KB
Volume
20
Category
Article
ISSN
0960-0779

No coin nor oath required. For personal study only.

✦ Synopsis

In this paper we study the price dynamics in a simple model of financial markets with heterogeneous-agents. We concentrate on how increase in the total number of active traders influences on fluctuations of asset prices. We find that a curious route to chaos is observed when the total number of active traders who participate into trading increases. Particularly we show that intermittent chaos [Berge et al., Order within Chaos, John Wiley and Sons, New York, 1984] of price fluctuations is observed as the total number of trader increases.

πŸ“œ SIMILAR VOLUMES

Endogenous fluctuations in a simple asse
Endogenous fluctuations in a simple asset pricing model with heterogeneous agents
✍ Andrea Gaunersdorfer πŸ“‚ Article πŸ“… 2000 πŸ› Elsevier Science 🌐 English βš– 461 KB

In this paper we study the adaptive rational equilibrium dynamics in a simple asset pricing model introduced by Brock and Hommes (System Dynamics in Economic and Financial Models, Wiley, Chichester, 1997, pp. 3}44; Journal of Economic Dynamics and Control, 22, 1998, 1235}1274). Traders have heteroge