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Imitation, stock markets and Stackelberg games

Author

Listed:
  • Fausto Mignanego
  • Paola Modesti

Abstract

There is a wide literature about the behaviour of agents in a stock-market in the presence of imitation phenomena. Some issues may be treated in a game-theory context. In particular, we consider a micro-model of stock-market speculator and formalise it in a Stackelberg game. The problem consists in maximising the utility of two agents (called Leader and Follower) under the assumption that the latter also takes into account the Leader's opinion on the future value of a stock. The results show new relations between the optimal policies of the two agents.

Suggested Citation

  • Fausto Mignanego & Paola Modesti, 2014. "Imitation, stock markets and Stackelberg games," International Journal of Applied Management Science, Inderscience Enterprises Ltd, vol. 6(1), pages 84-97.
    • Handle: RePEc:ids:injams:v:6:y:2014:i:1:p:84-97
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