博士年会（数量经济学） Shanghai, China An Behavioral Model of Various Stock Market Dynamic Regimes Yu Tongkui （于同奎） Department of Systems Science, School of Management, BNU

博士年会（数量经济学） Shanghai, China An Behavioral Model of Various Stock Market Dynamic Regimes Yu Tongkui （于同奎） Department of Systems Science, School of Management, BNU

Dynamic Regimes Source:

Dynamic Regimes Source:

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

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) ……

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

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.

Outline:

Multi-agent Stock Market Model Market components (chartists) (fundamentalists) (optimistic chartists) (pessimistic chartists)

Multi-agent Stock Market Model Traders behavior Modeled as the switch probability among different groups

Model Switch probability between optimistic and pessimistic chartists : market sentiment index : mimetic propensity : price-chasing propensity

Model Switch probability between fundamentalists and chartists : strategy-switching propensity

Model Price formation ED: Excess demand

Multi-agent Stock Market Model Procedure:

Outline:

Stock Market Dynamical System Where: market sentiment index market rationality index p : market price

Outline:

Dynamic regime (I) Fundamental equilibrium

Multi-agent Simulation System

Typical Simulation results with Fundamental equilibrium parameters

Dynamic regime (II) Symmetric non-fundamental equilibrium

Typical Simulation results with Non-fundamental equilibrium parameters

Dynamic regime (III) - Periodicity

Dynamic regime (IV) - Chaos

Typical Multi-agent Simulations with analytical results

Traders ’ propensities to dynamic regimes – Bifurcation diagram

Traders ’ propensities to dynamic regimes – phase diagram

(Strategy-switching propensity)

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.

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).

Prediction: if >4000 then >5000

Thanks for patience ！ Suggestions welcome!