博士年会(数量经济学) Shanghai, China An Behavioral Model of Various Stock Market...
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- Shanghai, China An Behavioral Model of Various Stock Market
Dynamic Regimes Yu Tongkui Department of Systems Science, School of
Management, BNU
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- Shanghai, China An Behavioral Model of Various Stock Market
Dynamic Regimes Yu Tongkui Department of Systems Science, School of
Management, BNU
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- Dynamic Regimes Source: www.sohu.com
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- Dynamic Regimes Source: www.sohu.com
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- Motivation Aim: (1)to find an underlying mechanism producing
various dynamic regimes; (2) to investigate the factors (traders
behavioral propensities) determining the market in which regime.
Various regimes Similar trading rules Similar traders
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- Related works Many models have been built to replicate
different dynamic regimes: Chiarella, C. (1992,2001,2004) Lux, T.
(1995,1998,1999) Brock, W. A., Hommes, C. H. (1997, 2001)
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- Bottom-up modeling Consider the behavioral pattern of traders
(agents) and model it as the switch probability among different
groups Derive a dynamical system to approximate the market
evolution So, the dynamical system has parameters for traders
propensities
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- Our work Follows Lux s bottom up approach. Builds a multi-agent
model with four kinds of dynamic regimes (fundamental equilibrium,
non-fundamental equilibrium, periodicity and chaos). Concentrates
on analyzing the effect of traders propensities (mimetic
propensity, price-chasing propensity and strategy- switching
propensity) on market dynamic regimes by both analytical and
multi-agent simulation approach.
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- Outline:
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- Multi-agent Stock Market Model Market components (chartists)
(fundamentalists) (optimistic chartists) (pessimistic
chartists)
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- Multi-agent Stock Market Model Traders behavior Modeled as the
switch probability among different groups
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- Model Switch probability between optimistic and pessimistic
chartists : market sentiment index : mimetic propensity :
price-chasing propensity
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- Model Switch probability between fundamentalists and chartists
: strategy-switching propensity
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- Model Price formation ED: Excess demand
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- Multi-agent Stock Market Model Procedure:
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- Outline:
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- Stock Market Dynamical System Where: market sentiment index
market rationality index p : market price
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- Outline:
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- Dynamic regime (I) Fundamental equilibrium
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- Multi-agent Simulation System
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- Typical Simulation results with Fundamental equilibrium
parameters
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- Dynamic regime (II) Symmetric non-fundamental equilibrium
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- Typical Simulation results with Non-fundamental equilibrium
parameters
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- Dynamic regime (III) - Periodicity
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- Dynamic regime (IV) - Chaos
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- Typical Multi-agent Simulations with analytical results
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- Traders propensities to dynamic regimes Bifurcation
diagram
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- Traders propensities to dynamic regimes phase diagram
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- (Strategy-switching propensity)
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- Conclusion Present an underlying mechanism that gives
reasonable explanations to four kinds of market regimes. Traders'
behavioral propensities play an important role in determining
market dynamic regimes.
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- Further research A model with endogenous agent number N
(Different degrees of attraction of additional traders may play an
important role in real market). Fast parameters (price) and slow
parameters (traders propensities).
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- Prediction: if >4000 then >5000
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- Thanks for patience Suggestions welcome!