Dresden 2003 – scientific programme

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AKSOE: Physik sozio-ökonomischer Systeme

AKSOE 3: Postersitzung

AKSOE 3.4: Poster

Monday, March 24, 2003, 15:45–17:15, P1

Agent-based chaos in stockmarket simulations — •Kai Nagel — Institute for Computational Science, ETH Zurich

A simple aggregate stockmarket model is taken and recast in terms of a controller. For this controller, linear stability can be explored. Beyond the stable region, the model shows a typical bifurcation transition to chaos. The same controller can be obtained by the interaction of many even simpler agents, which are just based on their own personal estimation of the value of the stock plus a simple threshold behavior. That model displays the same transition to chaos.