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Volatilities and desires of the agent clusters drive together markets

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  • Dong, Linrong

Abstract

We propose a generalized heterogeneous agents herding model, in which the financial markets consist of agent clusters with different sizes and market desires. The ratio of successful exchange and merger depends on the volatilities of the market and the market desires of the agent clusters. The market desires are the interior forces on the market evolution and volatilities are the exterior ones, which be transferred each other by dissolution and coalition of the agent clusters. The model can imitate the markets with different characteristics, including the joint-stock, democratic and autocratic markets. The numerical calculation shows that some dynamics behaviors of the model are close to those of real markets in the three cases.

Suggested Citation

  • Dong, Linrong, 2007. "Volatilities and desires of the agent clusters drive together markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 380(C), pages 512-518.
    • Handle: RePEc:eee:phsmap:v:380:y:2007:i:c:p:512-518
    DOI: 10.1016/j.physa.2007.02.057
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    Cited by:

    1. Hernández, Juan Antonio & Benito, Rosa Marı´a & Losada, Juan Carlos, 2012. "An adaptive stochastic model for financial markets," Chaos, Solitons & Fractals, Elsevier, vol. 45(6), pages 899-908.

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