An evolutionary game model of financial markets with heterogeneous players

摘要

Three types of market traders, including momentum traders, contrarian traders and fundamentalists, are introduced to an evolutionary game model as market players, and their payoff structures are given. Based on a discrete replicator equation, a dynamic system is defined, and then its evolutionarily stable states are presented, which correspond to different market price evolving processes, including the stationary price fluctuation around the fundamental value, the increasing (decreasing) price bubble and the stationary, fluctuating positive (negative) price bubble.