A CA Approach to Study Complex Dynamics in Asset Markets

Abstract

The paper presents first steps in a project that aims at exploring new modelling and simulation tools (e.g. the ones offered by the Cellular Automata approach) in order to study complex systems and phenomena concerning the economic and social contexts. The specific problem we are presenting in this paper concerns the complex dynamics involved in an asset price model with heterogeneous agents. The dynamics of the global asset market can be studied as a result of local interactions that emerges from the autonomous entities that are involved in the market system. The proposed model allows to describe in a unified way both global and local interactions that characterize economic agents involved in financial market trading. Even if experimental work is still ongoing, first performed steps have allowed us to gather some significant results that allowed us to verify the suitability of the proposed approach.