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Heterogeneous agents in multi-markets: A coupled map lattices approach

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  • Huang, Weihong
  • Chen, Zhenxi

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 effect. 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 effect as a bridge for multi-market interactions with heterogeneous agents.

Suggested Citation

  • Huang, Weihong & Chen, Zhenxi, 2015. "Heterogeneous agents in multi-markets: A coupled map lattices approach," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 108(C), pages 3-15.
    • Handle: RePEc:eee:matcom:v:108:y:2015:i:c:p:3-15
    DOI: 10.1016/j.matcom.2013.10.004
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    References listed on IDEAS

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    Citations

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    Cited by:

    1. Tamotsu Onozaki, 2018. "Nonlinearity, Bounded Rationality, and Heterogeneity," Springer Books, Springer, number 978-4-431-54971-0, October.
    2. Huang, Weihong & Chen, Zhenxi, 2020. "Modelling contagion of financial crises," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    3. Zhenxi Chen & Stefan Reitz, 2020. "Dynamics of the European sovereign bonds and the identification of crisis periods," Empirical Economics, Springer, vol. 58(6), pages 2761-2781, June.
    4. Zhenxi Chen & Weihong Huang & Huanhuan Zheng, 2018. "Estimating heterogeneous agents behavior in a two-market financial system," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 13(3), pages 491-510, October.
    5. Esashi, Kunihiko & Onozaki, Tamotsu & Saiki, Yoshitaka & Sato, Yuzuru, 2018. "Intermittent transition between synchronization and desynchronization in multi-regional business cycles," Structural Change and Economic Dynamics, Elsevier, vol. 44(C), pages 68-76.
    6. Lu, Guangqing & Smidtaite, Rasa & Navickas, Zenonas & Ragulskis, Minvydas, 2018. "The Effect of Explosive Divergence in a Coupled Map Lattice of Matrices," Chaos, Solitons & Fractals, Elsevier, vol. 113(C), pages 308-313.

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    More about this item

    Keywords

    Coupled map lattices; Heterogeneous agents; Multi-market interaction;
    All these keywords.

    JEL classification:

    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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