Modeling an Artificial Stock Market. When Cognitive Institutions Influence Market Dynamic

Stéphanie Lavigne ()
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Stéphanie Lavigne: Toulouse Business School

European Journal of Economic and Social Systems, 2005, vol. 18, issue 2, 201-232

Abstract: The paper presents an artificial financial market designed to analyze market dynamics from the behavior 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: 2005
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Persistent link: https://EconPapers.repec.org/RePEc:ris:ejessy:0114

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