Imitation, stock markets and Stackelberg games

Fausto Mignanego and Paola Modesti

International Journal of Applied Management Science, 2014, vol. 6, issue 1, 84-97

Abstract: There is a wide literature about the behaviour of agents in a stock-market in the presence of imitation phenomena. Some issues may be treated in a game-theory context. In particular, we consider a micro-model of stock-market speculator and formalise it in a Stackelberg game. The problem consists in maximising the utility of two agents (called Leader and Follower) under the assumption that the latter also takes into account the Leader's opinion on the future value of a stock. The results show new relations between the optimal policies of the two agents.

Keywords: imitation; stock markets; optimisation; Stackelberg games; bilevel programming; game theory; stock market speculation; agent behaviour; stock value. (search for similar items in EconPapers)
Date: 2014
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