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Modelling an artificial stock market: When cognitive institutions influence market dynamics

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  • Stéphanie LAVIGNE (ESC Toulouse and GRES-LEREPS)
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    Abstract

    The paper presents an artificial financial market designed to analyse market dynamics from the behaviour of investors. The model especially allows highlighting the role of a particular kind of institution in the orientation of market dynamics. The information – delivered by financial intermediaries as rating agencies and considered as a cognitive institution – directs the decisions of investors who are heterogeneous agents endowed with capabilities of learning in a changing environment. We demonstrate that the cognitive institution influences market dynamics as it allows the co-ordination of the decisions of investment in the same direction. The information delivered by rating agencies is clearly a « focal point » for investors and contributes to generate a speculative dynamic on the market.

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    File URL: http://cahiersdugres.u-bordeaux4.fr/2004/2004-04.pdf
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    Bibliographic Info

    Paper provided by Groupement de Recherches Economiques et Sociales in its series Cahiers du GRES with number 2004-04.

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    Date of creation: 2004
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    Handle: RePEc:grs:wpegrs:2004-04

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    Web page: http://gres.u-bordeaux4.fr/
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    Keywords: artificial model; financial market; investors; cognitive institution; information; interactions; co-ordination; learning; speculative dynamic.;

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