Traders´ Behavioral Propensities and Stock Market Dynamic Regimes in a Stochastic Multi-agent Model

We present a multi-agent stock market model with different dynamic regimes including fundamental equilibrium, non-fundamental equilibrium, periodicity and chaos. The influence of traders´ behavioral propensities such as mimetic propensity, price-chasing propensity and strategy-switching propensity to market dynamic regime is investigated by both analytical and numerical methods. The mimetic and price-chasing propensities play a more important role in determining market regimes, while the strategy-switching propensity determines the price deviation distance from fundamental value if the deviation exists.