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

Stéphanie LAVIGNE (ESC Toulouse and GRES-LEREPS)

Cahiers du GRES (2002-2009) from Groupement de Recherches Economiques et Sociales

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.

Keywords: artificial model; financial market; investors; cognitive institution; information; interactions; co-ordination; learning; speculative dynamic. (search for similar items in EconPapers)
JEL-codes: B25 B52 C63 D83 D84 G12 G14 (search for similar items in EconPapers)
Date: 2004
New Economics Papers: this item is included in nep-cbe, nep-cmp, nep-fin and nep-fmk
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Persistent link: https://EconPapers.repec.org/RePEc:grs:wpegrs:2004-04

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