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Multiasset market dynamics. (English) Zbl 1134.91392

Summary: This paper explores multiasset market dynamics. We consider a limited number of markets on which two types of agents are active. Fundamentalists specialize in a certain market to gather expertise. Chartists may switch between markets since they use simple extrapolative methods. Specifically, chartists prefer markets that display price trends but that are not too misaligned. The interaction between the traders causes complex dynamics. Even in the absence of random shocks, our artificial markets mimic the behavior of actual asset markets closely. Our model also offers reasons for the high degree of comovements in stock prices observed empirically.

MSC:

91B26 Auctions, bargaining, bidding and selling, and other market models
91B60 Trade models
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