Market behaviors and dynamic evolution on heterogeneous agent clusters

✍ Scribed by Linrong Dong

• Publisher: Elsevier Science
• Year: 2007
• Tongue: English
• Weight: 295 KB
• Volume: 376
• Category: Article
• ISSN: 0378-4371
• DOI: 10.1016/j.physa.2006.10.066

✦ Synopsis

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.