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Intermittent chaos in a model of financial markets with heterogeneous agents

In this paper we study the price dynamics in a simple model of financial markets with heterogeneous agents. We concentrate on how increases in the total number of active traders influences fluctuations of asset prices. We find that a curious route to chaos is observed when the total number of [active traders] increases. Particularly, we show that {\it intermittent chaos} [1] of price fluctuations is observed as the total number of trader increases.
Year of publication:
2003-12
Authors: Kaizoji, Taisei
Institutions: arXiv.org
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application/pdf
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Type of publication: Book / Working Paper
Notes:
Published in Chaos, Solitons, & Fractals 20 (2) (2004) 323-327
Source:
Persistent link: https://www.econbiz.de/10005098699
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