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

Listed author(s):
  • Stéphanie LAVIGNE (ESC Toulouse and GRES-LEREPS)
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    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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    Paper provided by Groupement de Recherches Economiques et Sociales in its series Cahiers du GRES (2002-2009) with number 2004-04.

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