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Please use this identifier to cite or link to this item: http://hdl.handle.net/1783.1/6235
Title: Dynamics of price cycles in agent-based models of financial markets
Authors: Jin, Binping
Issue Date: 2009
Abstract: In this thesis, we introduce an agent-based model of financial markets called the Essential Model, and analyze the dynamics of price cycles in the phase of the trendsetters' attractor by examining the detail behavior of different groups of agents in the model. Different types of trendsetters' attractors are classified by the fickle agents they contain and are named by the switching steps of the fickle agents. We obtain the necessary conditions for the existence of the trendsetters' attractors and their sub-phases in the space of market impact β and price sensitivity γ. Besides, we also obtain the lines of maximum probability. The dynamics of the attractors are well studied and the transition of trendsetters' attractors from one type to another is also explained.
Description: Thesis (M.Phil.)--Hong Kong University of Science and Technology, 2009
xiii, 99 p. : ill. (some col.) ; 30 cm
HKUST Call Number: Thesis PHYS 2009 Jin
URI: http://hdl.handle.net/1783.1/6235
Appears in Collections:PHYS Master Theses

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