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The role of cognitively biased imitators in a small scale agent-based financial market

  • Fabio Tramontana

    (Department of Economics and Management, University of Pavia)

We analyze the consequences of the presence of imitators in a financial market populated by boundedly rational speculators. We consider imitators that only look at the recent success of the available trading rules. We show that the introduction of this kind of imitators makes the results more complicated but even more realistic. In particular, under some specific circumstances, imitators may stabilize an otherwise unstable market or, at the opposite, make unstable an otherwise stable scenario.

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File URL: http://economia.unipv.it/docs/dipeco/quad/ps/RePEc/pav/demwpp/DEMWP0029.pdf
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Paper provided by University of Pavia, Department of Economics and Management in its series DEM Working Papers Series with number 029.

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Length: 23 pages
Date of creation: Jan 2013
Date of revision:
Handle: RePEc:pav:demwpp:029
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  1. J. Bradford De Long & Andrei Shleifer & Lawrence H. Summers & Robert J. Waldmann, 1989. "Positive Feedback Investment Strategies and Destabilizing Rational Speculation," NBER Working Papers 2880, National Bureau of Economic Research, Inc.
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  13. Brock, William A. & Hommes, Cars H., 1998. "Heterogeneous beliefs and routes to chaos in a simple asset pricing model," Journal of Economic Dynamics and Control, Elsevier, vol. 22(8-9), pages 1235-1274, August.
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  17. Bischi, Gian-Italo & Gallegati, Mauro & Gardini, Laura & Leombruni, Roberto & Palestrini, Antonio, 2006. "Herd Behavior And Nonfundamental Asset Price Fluctuations In Financial Markets," Macroeconomic Dynamics, Cambridge University Press, vol. 10(04), pages 502-528, September.
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