An Evolutionary Game Model of Financial Markets with Heterogeneous Players | Zendy

Honggang Li | Zendy; Chensheng Wu | Zendy; Mingyu Yuan | Zendy

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An Evolutionary Game Model of Financial Markets with Heterogeneous Players

Author(s) -

Honggang Li,

Chensheng Wu,

Mingyu Yuan

Publication year - 2013

Publication title -

procedia computer science

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.334

H-Index - 76

ISSN - 1877-0509

DOI - 10.1016/j.procs.2013.05.122

Subject(s) - contrarian , stochastic game , replicator equation , computer science , financial market , economic bubble , momentum (technical analysis) , bubble , value (mathematics) , mathematical economics , economics , microeconomics , financial economics , finance , population , demography , machine learning , sociology , parallel computing

Three types of market traders, including momentum traders, contrarian traders and fundamentalists, are introduced to an evolutionary game model as market players, and their payoff structures are given. Based on a discrete replicator equation, a dynamic system is defined, and then its evolutionarily stable states are presented, which correspond to different market price evolving processes, including the stationary price fluctuation around the fundamental value, the increasing (decreasing) price bubble and the stationary, fluctuating positive (negative) price bubble

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