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Intermittent chaos in a model of financial markets with heterogeneous agents

Taisei Kaizoji
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Abstract

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.

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Taisei Kaizoji. 2003-12-25. Intermittent chaos in a model of financial markets with heterogeneous agents. https://doi.org/10.1016/s0960-0779(03)00386-2

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