Heterogeneity and Self-Organization of Complex Systems Through an Application to Financial Market with Multiagent Systems - Archive ouverte HAL Access content directly
Journal Articles International journal of bifurcation and chaos in applied sciences and engineering Year : 2017

Heterogeneity and Self-Organization of Complex Systems Through an Application to Financial Market with Multiagent Systems

Abstract

Multiagent systems (MAS) provide a useful tool for exploring the complex dynamics and behavior of financial markets and now MAS approach has been widely implemented and documented in the empirical literature. This paper introduces the implementation of an innovative multi-scale mathematical model for a computational agent-based financial market. The paper develops a method to quantify the degree of self-organization which emerges in the system and shows that the capacity of self-organization is maximized when the agent behaviors are heterogeneous. Numerical results are presented and analyzed, showing how the global market behavior emerges from specific individual behavior interactions.
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Dates and versions

hal-02114933 , version 1 (30-04-2019)

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Iris Lucas, Michel Cotsaftis, Cyrille Bertelle. Heterogeneity and Self-Organization of Complex Systems Through an Application to Financial Market with Multiagent Systems. International journal of bifurcation and chaos in applied sciences and engineering , 2017, 27 (14), pp.1750219. ⟨10.1142/S0218127417502194⟩. ⟨hal-02114933⟩
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