Heterogeneous agents in multi-markets: A coupled map lattices approach

In this paper we examine assets price deviation in a multi-market system with heterogeneous investors in each market. Coupled map lattices (CML) is introduced to the market maker framework. It results in market cluster sharing the same sign of deviation in the chaotic interval. Distribution plots are applied to understand the deviation persistence enhancement from the coupling e¤ect. Besides that, external disturbance is employed to the system to examine the market pattern stability and the propagation of the disturbance. The goal of the paper is to introduce coupling e¤ect as a bridge for multi-market interactions with heterogeneous agents. Key words: Coupled map lattices; heterogeneous agents; multi-market interaction. JEL classi…cation: C61, G12, G15 Preprint submitted to Elsevier Science 16 January 2013