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


  • Stéphanie LAVIGNE (ESC Toulouse and GRES-LEREPS)


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.

Suggested Citation

  • Stéphanie LAVIGNE (ESC Toulouse and GRES-LEREPS), 2004. "Modelling an artificial stock market: When cognitive institutions influence market dynamics," Cahiers du GRES (2002-2009) 2004-04, Groupement de Recherches Economiques et Sociales.
  • Handle: RePEc:grs:wpegrs:2004-04

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    References listed on IDEAS

    1. Langlois, Richard N., 2002. "Modularity in technology and organization," Journal of Economic Behavior & Organization, Elsevier, vol. 49(1), pages 19-37, September.
    2. Vincent Frigant, 2002. "Geographical proximity and supplying relationships in modular production," International Journal of Urban and Regional Research, Wiley Blackwell, vol. 26(4), pages 742-755, December.
    3. Timothy J. Sturgeon, 2002. "Modular production networks: a new American model of industrial organization," Industrial and Corporate Change, Oxford University Press, vol. 11(3), pages 451-496, June.
    4. Richard N. Langlois, 2003. "The vanishing hand: the changing dynamics of industrial capitalism," Industrial and Corporate Change, Oxford University Press, vol. 12(2), pages 351-385, April.
    5. Vincent FRIGANT (GRES-E3i) & Damein TALBOT (Université de Metz), 2002. "Convergence and diversity of the adoption of modular production in aircraft and automobile industries in Europe (In French)," Working Papers 2002-6, Equipe Industries Innovation Institutions, Université Bordeaux IV, France.
    6. Langlois, Richard N. & Robertson, Paul L., 1992. "Networks and innovation in a modular system: Lessons from the microcomputer and stereo component industries," Research Policy, Elsevier, vol. 21(4), pages 297-313, August.
    7. Anders Larsson, 2002. "The development and regional significance of the automotive industry: supplier parks in western Europe," International Journal of Urban and Regional Research, Wiley Blackwell, vol. 26(4), pages 767-784, December.
    8. Ulrich Jürgens & Yannick Lung & G. Volpato & Vincent Frigant, 2002. "The Arrival of Shareholder Value in the European Car Industry A Case Study Comparison of Four Car Makers," Post-Print hal-00204249, HAL.
    9. Vincent Frigant & Damien Talbot, 2003. "Convergence et diversité du passage à la production modulaire dans l'aéronautique et l'automobile en Europe," Post-Print hal-00246171, HAL.
    10. Brusoni, Stefano & Prencipe, Andrea, 2001. "Unpacking the Black Box of Modularity: Technologies, Products and Organizations," Industrial and Corporate Change, Oxford University Press, vol. 10(1), pages 179-205, March.
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    More about this item


    artificial model; financial market; investors; cognitive institution; information; interactions; co-ordination; learning; speculative dynamic.;

    JEL classification:

    • B25 - Schools of Economic Thought and Methodology - - History of Economic Thought since 1925 - - - Historical; Institutional; Evolutionary; Austrian; Stockholm School
    • B52 - Schools of Economic Thought and Methodology - - Current Heterodox Approaches - - - Historical; Institutional; Evolutionary
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
    • D83 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Search; Learning; Information and Knowledge; Communication; Belief; Unawareness
    • D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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